Global Factor Data
Global Factor Data
Global Factor Data
Global Factor Data

CTF Model Leaderboard

Rankings of models submitted to the Common Task Framework

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85
Total Submissions
80
Completed Models
5
Pending
2.238
Avg Sharpe Ratio

Test period: 1990–2023 · all models are evaluated on the full hindcast sample

Rank Model Name Author Language Files Sharpe Ratio Annual Return Volatility Max Drawdown
1
Markowitz-ML with a Clustered Barra Risk Model Submitted Oct 8, 2026 · Scored Oct 9, 2026 Xiaoxuan Shang python
4.3949
43.95% 10.00% -7.63%
2
DARE: Disagreement-Adaptive Risk-Aware Ensemble Submitted Oct 8, 2026 · Scored Oct 9, 2026
Wang et al. Cindy Wang, Lilian Li, Megan Wang
python
4.1759
41.76% 10.00% -6.89%
3
Ensemble Markowitz Submitted Oct 7, 2026 · Scored Oct 9, 2026 Julie Chen Olivia Zhu python
4.1346
41.35% 10.00% -3.51%
4
MAXSER-PR (+ LightGBM) Submitted Sep 22, 2026 · Scored Sep 24, 2026 Ruizhao Huang python
4.1105
41.10% 10.00% -10.87%
5
Peer-Relative Clustering LightGBM+Barra Submitted Oct 8, 2026 · Scored Oct 9, 2026
Qi et al. Andrew Qi, Marcus Kwauk, Harley Chen, Boyce Yang
python
4.1091
41.09% 10.00% -6.04%
6
CRE: GBM + ridge, factor and sample-covariance books Submitted Oct 6, 2026 · Scored Oct 7, 2026 Cnn Wnn python
3.9997
40.00% 10.00% -10.91%
7
XGB+MLP + two risk models (beta neutral) First submitted Sep 17, 2026 · Resubmitted Sep 27, 2026 · Scored Sep 28, 2026 Abhinav Keshri python
3.9832
39.83% 10.00% -13.90%
8
LightGBM with penalised VCV (MV - GMV) raw features Submitted Sep 6, 2026 · Scored Sep 8, 2026 Paul Geertsema python
3.9722
39.72% 10.00% -13.10%
9
Disagreement-Adaptive Risk-Aware Ensemble Submitted Oct 7, 2026 · Scored Oct 7, 2026 Cindy Wang python
3.9603
39.60% 10.00% -10.88%
10
Two-View GBM + Factor MVO Submitted Oct 7, 2026 · Scored Oct 8, 2026
Im et al. EK Im, Souveer Aggarwal, JiWhan Moon, Abdul-Kabiru Nashiru
R
3.9554
39.55% 10.00% -4.71%
11
Aurelia_Markowitz-ML_Model Submitted Oct 5, 2026 · Scored Oct 8, 2026 Yanzhu Gong python
3.9138
39.14% 10.00% -7.83%
12
Boosted Stock Rankings in a Two-Book Mean-Variance Portfolio Submitted Oct 8, 2026 · Scored Oct 9, 2026
Chen et al. Marco Chen, Cecilia Xin, Simon Zhang, Magie Ma
R
3.8609
38.61% 10.00% -6.92%
13
Boosted Trees with Two Risk Models Submitted Oct 7, 2026 · Scored Oct 9, 2026
Cao et al. Jerry Cao, Grace Gu, Jerry Shen, Angel Zhao
python
3.7363
37.36% 10.00% -12.16%
14
XGB+two risk models (beta neutral) Submitted Sep 17, 2026 · Scored Sep 23, 2026 Abhinav Keshri python
3.7092
37.09% 10.00% -17.23%
15
LightGBM with penalised VCV (MV - GMV) Submitted Aug 30, 2026 · Scored Sep 6, 2026 Paul Geertsema python
3.6362
36.36% 10.00% -11.16%
16
Factor Forecasting and Regularized Portfolio Allocation Submitted Oct 8, 2026 · Scored Oct 9, 2026 Alfredo Vara Suarez python
3.5862
35.86% 10.00% -18.24%
17
Placebo-Audited LightGBM with Size-Block Covariance Submitted Oct 5, 2026 · Scored Oct 6, 2026
Wen et al. Xinhe Wen, Yiting Huang, Bingyan Wang, Emily Wu
python
3.5809
35.81% 10.00% -8.43%
18
Ridge-LightGBM Ensemble with Covariance Shrinkage Submitted Oct 7, 2026 · Scored Oct 7, 2026 Zoey zzz python
3.5572
35.57% 10.00% -9.49%
19
Coupled Factor Portfolio First submitted Aug 10, 2026 · Resubmitted Aug 19, 2026 · Scored Aug 22, 2026 Hema Srikar Ankem python
3.3656
33.66% 10.00% -8.16%
20
Nonlinear IPCA with Precision Weighting Submitted Jul 19, 2026 · Scored Jul 20, 2026 Szymon Kubiak python
3.3057
33.06% 10.00% -11.96%
21
XGB + two risk models Submitted Sep 16, 2026 · Scored Sep 23, 2026 Abhinav Keshri python
3.3003
33.00% 10.00% -15.87%
22
Time Series Low Rank Portfolio Submitted Sep 7, 2026 · Scored Sep 8, 2026 Hema Srikar Ankem python
3.2997
33.00% 10.00% -8.53%
23
Systematic Orthogonal - PLS - MVO Submitted Sep 20, 2026 · Scored Sep 21, 2026
Wang et al. Haoyu Wang, Leo Xiao, Dulani Dulani Jayasuriya, Xing Han
python
3.1319
31.32% 10.00% -12.86%
24
Risk-Adjusted Ensemble Alpha Model Submitted Oct 6, 2026 · Scored Oct 8, 2026
Siddiqui & Davis Muhammad Sheharyar Siddiqui, Courtney Davis
R
3.1188
31.19% 10.00% -8.29%
25
Grassman Dimension Reduction Factor Portfolio Submitted Sep 3, 2026 · Scored Sep 7, 2026 Alexandre Banh & Hema Srikar Ankem python
3.0404
30.40% 10.00% -6.94%
26
Volatility-Targeted Shrinkage MLP Submitted Jul 31, 2026 · Scored Jul 31, 2026 Hema Srikar Ankem python
2.9146
29.15% 10.00% -10.02%
27
Stacked Return Forecast with Forecast-Aligned Factor Risk Model Submitted Oct 7, 2026 · Scored Oct 9, 2026
Robichaud & Kumar Thomas Robichaud, Abhay Kumar
python
2.8747
28.75% 10.00% -24.04%
28
3-Signal Blend + Factor-Risk Mean-Variance Optimization Submitted Oct 7, 2026 · Scored Oct 8, 2026
Hipp et al. Connor Hipp, Antoine Boisard, Anika Bokka, Sunmeet Gulati
R
2.8670
28.67% 10.00% -6.79%
29
Implementation of the Nonlinear Portfolio Transformer Submitted Apr 3, 2026 · Scored Apr 4, 2026 Gareth Campbell python
2.7879
27.88% 10.00% -18.74%
30
XGBoost Rank + PCA-20 Shrunk Markowitz Submitted Oct 6, 2026 · Scored Oct 7, 2026
Deng & Meng Youyang Deng, Jiayu Meng
python
2.7843
27.84% 10.00% -10.56%
31
Awake stock portfolios Submitted Oct 7, 2026 · Scored Oct 7, 2026 Bo Li R
2.7750
27.75% 10.00% -14.66%
32
XGBoost–Ledoit-Wolf Constrained MVP Submitted Feb 19, 2026 · Scored Feb 21, 2026 RR python
2.7143
27.14% 10.00% -12.54%
33
Beta Neutral Cross-Sectional MLP Submitted Jul 26, 2026 · Scored Jul 30, 2026 Hema Srikar Ankem python
2.6039
26.04% 10.00% -15.91%
34
Benchmark: Markowitz-ML Benchmark — R
2.5212
25.21% 10.00% -16.63%
35
Decay-Aware CCAR Submitted Oct 8, 2026 · Scored Oct 9, 2026
Liu et al. Wendy Liu, Siqi Jia, Patrick Liu, Oscar Chau
python
2.5064
25.06% 10.00% -20.88%
36
Portfolio-ML with random features Submitted Oct 7, 2026 · Scored Oct 8, 2026 Kai Brusseleers R
2.5044
25.04% 10.00% -12.08%
37
EPO v1 Submitted Aug 22, 2026 · Scored Aug 25, 2026 srikar & dev python
2.4545
24.55% 10.00% -10.75%
38
Multi-Scale LightGBM Ensemble Submitted Sep 5, 2026 · Scored Sep 5, 2026 Jo Jo python
2.4426
24.43% 10.00% -9.33%
39
Ridge-XGBoost Barra Long-Short Submitted Oct 8, 2026 · Scored Oct 9, 2026
Lopez et al. Nicolas Lopez, Behruz Ahkmedov, Marc Utzmeier
python
2.3745
23.74% 10.00% -20.02%
40
Cross-Sectional Rank Boosting + Factor-Risk MVO Submitted Jul 14, 2026 · Scored Jul 15, 2026 Abhinav Keshri python
2.3530
23.53% 10.00% -14.21%
41
Markowitz ML Model Submitted Oct 8, 2026 · Scored Oct 9, 2026
Perczek et al. Eric Perczek, Caroline Pennington, Tuva Hatlegjerde, Mikkel Shiffman
python
2.3072
23.07% 10.00% -16.33%
42
Residual LightGBM-Ridge Risk-Aware Portfolio Submitted Oct 6, 2026 · Scored Oct 7, 2026 020 ovo python
2.1912
21.91% 10.00% -15.28%
43
LightGBM + Investment Families Submitted Apr 22, 2026 · Scored Apr 28, 2026 Darren Li python
2.1854
21.85% 10.00% -19.40%
44
MAXSER Submitted Jan 13, 2026 · Scored Jan 13, 2026 Yingying Li R
2.0261
20.26% 10.00% -13.23%
45
Stacked EN-XGB and Factor-Risk Mean-Variance Submitted Oct 7, 2026 · Scored Oct 8, 2026 Dinica Hooda R
2.0170
20.17% 10.00% -30.30%
46
Benchmark: Instrumented PCA factor portfolio Benchmark — python
1.9481
19.48% 10.00% -9.92%
47
Walk-Forward Factor Selection with Meta-Selection Submitted Sep 24, 2026 · Scored Sep 25, 2026 sam Morrissey python
1.7720
17.72% 10.00% -12.62%
48
WF-MetaSelect Submitted Jul 30, 2026 · Scored Jul 31, 2026 Luke McLaughlin python
1.7193
17.19% 10.00% -18.56%
49
Maximised Sharpe ratio Submitted Sep 13, 2026 · Scored Sep 14, 2026 cora burns python
1.7162
17.16% 10.00% -18.57%
50
Ridge-ElasticNet Mean-Variance Submitted Oct 7, 2026 · Scored Oct 7, 2026 Yohei Ueki python
1.6486
16.49% 10.00% -24.76%
51
Walk-Forward Factor Selection with Meta-Selection Submitted Sep 30, 2026 · Scored Oct 1, 2026 Caolán Martin python
1.6320
16.32% 10.00% -19.56%
52
Walk-Forward Factor Selection with Trailing Meta-Selection Submitted Jun 28, 2026 · Scored Jun 30, 2026 Gaurav Chhabra python
1.6067
16.07% 10.00% -17.28%
53
ClusterSharpe Selection + MeanVar Weighting + Linear LS Submitted Mar 10, 2026 · Scored Mar 11, 2026 Gareth Campbell python
1.5010
15.01% 10.00% -20.71%
54
Benchmark: Kozak-Nagel-Santosh rank-weighted factors portfolio Benchmark — R
1.4195
14.20% 10.00% -8.12%
55
Bull/Bear Naive Submitted Feb 20, 2026 · Scored Feb 24, 2026 Kavita Kar python
1.3762
13.76% 10.00% -23.86%
56
Annual Expanding-Window Ridge Submitted Oct 8, 2026 · Scored Oct 9, 2026 Matthew Kanzler R
1.2611
12.61% 10.00% -31.38%
57
Cross-Sectional Return Ensemble (CSRE) Submitted Feb 21, 2026 · Scored Feb 23, 2026 Anna Siamionava python
1.2591
12.59% 10.00% -29.00%
58
Rolling Factor Selection with RankSharpe Weighting Submitted Mar 9, 2026 · Scored Mar 10, 2026 Gareth Campbell python
1.1895
11.89% 10.00% -15.19%
59
Grid-Optimized Group Lasso (GOGL) Submitted Feb 19, 2026 · Scored Feb 20, 2026 mbn python
1.1030
11.03% 10.00% -29.37%
60
Adaptive Ensemble with Dynamic Risk Management Submitted Feb 22, 2026 · Scored Feb 25, 2026 Angikar Ghosal python
1.0457
10.46% 10.00% -28.06%
61
MVRLE Submitted Feb 19, 2026 · Scored Feb 20, 2026 MVO R
1.0137
10.14% 10.00% -30.10%
62
Benchmark: Minimum Variance Benchmark — R
0.9470
9.47% 10.00% -25.72%
63
Benchmark: Factor-ML Benchmark — R
0.8901
8.90% 10.00% -21.03%
64
Dynamically Regularized MVP (test subset) Submitted Feb 5, 2026 · Scored Feb 6, 2026 Mads Hebsgaard python
0.8703
8.70% 10.00% -31.48%
65
Parsimonious Imputed Expanding Lasso Submitted Feb 16, 2026 · Scored Feb 17, 2026 Lukas Jaeger python
0.8695
8.69% 10.00% -28.63%
66
Cross-Sectional Ridge–Forest Ensemble First submitted Feb 19, 2026 · Resubmitted Feb 21, 2026 · Scored Feb 23, 2026 Hassan Mir R
0.8652
8.65% 10.00% -27.76%
67
Ridge & XGB Submitted Jan 9, 2026 · Scored Jan 9, 2026 Thanh Tuan Le python
0.8574
8.57% 10.00% -34.69%
68
Elastic Net with Inverse-Variance Weights Submitted Feb 19, 2026 · Scored Feb 19, 2026 Jakob Jorsal Rasmussen python
0.7593
7.59% 10.00% -28.66%
69
Dynamically Regularized MVP Submitted Jan 31, 2026 · Scored Jan 31, 2026 Mads Hebsgaard python
0.7296
7.30% 10.00% -38.72%
70
Elastic Net (pooled) Submitted Nov 27, 2025 · Scored Nov 27, 2025 Rob Capellini python
0.6691
6.69% 10.00% -31.17%
71
Neural Net First submitted Nov 18, 2025 · Resubmitted Nov 18, 2025 · Scored Nov 18, 2025 Rob Capellini python
0.6474
6.47% 10.00% -30.92%
72
Elastic Net (stockwise) Submitted Nov 16, 2025 · Scored Nov 16, 2025 Rob Capellini python
0.6441
6.44% 10.00% -32.14%
73
Ridge Tilt Portfolio Submitted Feb 16, 2026 · Scored Feb 17, 2026 TM python
0.5890
5.89% 10.00% -34.08%
74
Inverse Volatility Weighting Submitted Mar 12, 2026 · Scored Mar 17, 2026 Yash Dave python
0.5764
5.76% 10.00% -35.06%
75
Agnostic Fundamental Analysis OLS Model Submitted Oct 5, 2026 · Scored Oct 6, 2026
Winkler et al. Daniel Winkler, Scott Li, Mustafa Tanik, Lucas Chen
R
0.5457
5.46% 10.00% -30.50%
76
ensemble model Submitted Jan 9, 2026 · Scored Jan 9, 2026 Lu Li python
0.5453
5.45% 10.00% -19.15%
77
Market Submitted Mar 6, 2026 · Scored Mar 7, 2026 GC TC python
0.5436
5.44% 10.00% -37.42%
78
Elasticnet XGBoost First submitted Feb 11, 2026 · Resubmitted Feb 17, 2026 · Scored Feb 18, 2026 DU python
0.4995
5.00% 10.00% -44.83%
79
Benchmark: Equal-weight portfolio Benchmark — python
0.4912
4.91% 10.00% -33.74%
80
Ridge Regression Submitted Feb 19, 2026 · Scored Feb 20, 2026 PB R
0.1477
1.48% 10.00% -36.80%
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Showing 1-0 of 0 models

For easier comparability, all models have been standardized to have an ex-post volatility of 10%.

All models are rescaled to 10% ex-post annualized volatility. Because each return series is multiplied by a single constant, realized Sharpe ratios are unchanged. This standardization is applied solely to improve comparability across models.

Models Under Review

Any model whose Sharpe ratio would place it first among submitted models is reviewed before it is added to the main rankings. Scores shown here are preliminary.

This review is routine, and we may also review other models. If your model is listed here, you do not need to do anything unless we contact you. When the review is complete, the model joins the main leaderboard. If we find a problem, we will contact you before making any change. See Rule 23: Review Process.

Rank Model Submitted By Language Sharpe Ratio
Residual Books (LightGBM) Felix Gehling PYTHON 4.4220 *
Residual Books (LightGBM & Spectral RMT) Annie Yeung PYTHON 4.4220 *

* Scores shown are preliminary and subject to change pending review completion.

Model Name Author Language Status Progress Submitted
NIE: Multi-Scale Residual Books for Equity Return
B Vaidya et al. Kush B Vaidya, Tareef Ahmed, Tanush Agarwal, Marco Chen, Keren Wang, Harry Chen
Python Scoring
61%
Waiting for the full run on our computing cluster 		1 day ago
Characteristic Correlation Stabilized (CCS) SDF Mo Pourmohammadi Python Scoring
61%
Waiting for the full run on our computing cluster 		3 days ago
Stock Picking Resized by Market Regime Risk
Sella et al. Giovanni Sella, Matteo Cozzani, Marcus Chung, Wendy Zhao
Python Submitted
0% 		4 days ago
Two Signals, One Risk Model
Molino & Dahan Riccardo Maria Molino, Alex Dahan
Python Scoring
61%
Waiting for the full run on our computing cluster 		5 days ago
Boosted Trees, Clustered Risk (GBM + Ridge, two risk models) Ruoxi Zhao Python Scoring
61%
Waiting for the full run on our computing cluster 		1 week ago
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