S&P 500
Benchmarks
TaskDatasetSOTA resultTrendResults
S&P 500 constituents (test)
-1.943Average Loss
30
S&P 500
14Annualized Return
22
S&P 500 monthly log-returns h=1
17CRPS Skill Score
18
S&P 500 four time intervals ahead
0.37MAE
18
S&P 500 one time interval ahead
0.3MAE
17
S&P 500 benchmark
56.78Forecast QA Score
14
S&P 500 monthly log-returns (h=6)
4.26CRPS Skill Score
12
S&P 500 monthly log-returns (h=3)
16.7CRPS Skill Score
12
S&P 500 Industrial
0.803CRPS
12
S&P 500 Live Trading
9.26Annualized Return
12
S&P 500 Backtesting
20.68AR
12
S&P 500 2022–2024 (test)
0.014RankIC
11
S&P 500 (P1)
1.59Sharpe Ratio
10
S&P 500 2022-01-01 to 2025-12-26 (test)
0.041IC
10
S&P 500 stocks Minimum Variance Portfolios
10,694.3VAMI
10
S&P 500 monthly close-to-close
1Perfect Score
9
S&P 500 (test)
65Directional Accuracy (DA)
9
S&P 500 US Market AlphaEval framework
0.025Predictive Power
8
S&P 500 2023–2025 (out-of-sample)
0.01Relative MSE
7
S&P 500 2009–2022 (in-sample)
0.01Relative MSE
7
S&P 500 2023–2025 (Out-of-sample)
0.02Volatility (MAE)
7
S&P 500 2009–2022 (In-sample)
0.02Volatility MAE
7
S&P 500 daily return data 2010-2019
1.176Mean Return
7
S&P 500 monthly log-returns h=12
-36.6CRPS Skill Score
6
S&P 500 1984-06-01 to 2025-08-20 (test)
3.922VaR-ES Score
6