Rankings of models submitted to the Common Task Framework
| Rank | Model Name | Author | Language | Sharpe Ratio | Annual Return | Volatility | Max Drawdown | Year |
|---|---|---|---|---|---|---|---|---|
|
1
|
MAXSER | Yingying Li | R | 3.68% | 1.78% | -2.32% | 2024 | |
|
2
|
Benchmark: Instrumented PCA factor portfolio Benchmark | — | python | 8.90% | 5.43% | -12.62% | 2024 | |
|
3
|
Ridge & XGB | Thanh Tuan Le | python | 4.36% | 5.08% | -18.74% | 2024 | |
|
4
|
Elastic Net (pooled) | Rob Capellini | python | 11.82% | 17.48% | -53.61% | 2024 | |
|
5
|
Neural Net | Rob Capellini | python | 12.32% | 18.85% | -56.04% | 2024 | |
|
6
|
Elastic Net (stockwise) | Rob Capellini | python | 11.07% | 17.25% | -54.98% | 2024 | |
|
7
|
ensemble model | Lu Li | python | 6.79% | 12.63% | -29.27% | 2024 | |
|
8
|
Benchmark: Equal-weight portfolio Benchmark | — | python | 9.33% | 18.99% | -55.73% | 2024 | |
|
9
|
Benchmark: Kozak-Nagel-Santosh rank-weighted factors portfolio Benchmark | — | R | 1.86% | 5.07% | -18.91% | 2024 |
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