The cross-section forecast problem is a difficult but fascinating challenge in finance that involves predicting the relative performance of a group of investments over time. The problem arises because directly predicting the future price of a single asset is very hard. So instead, we can try to predict how different investments will do compared to each other. This is done by tracking a pool of investment vehicles over time. The pool is usually made up of assets that are obtained according to some rule, like the S&P 500, which tracks the performance of the 500 largest companies in the US. The challenge of the competition is to rank the investments from best to worst at each given date. The scoring function for the competition is based on Spearman's rank correlation, which measures how well the predicted ranking of the investments matches up with the actual ranking.

Documentation Release: Friday, May 12th, 2023
Start Date: May 16th, 2023, 05.00 PM CET
Submission Deadline: August 16th, 2023 11:59 PM CET
End Date: November 16th, 2023 11:59 PM CET

Winner's Rank