PortBench: A Correlation-Aware, Full-Pipeline Benchmark for LLM-Driven Portfolio Management

Yuxuan Zhao, Sijia Chen and Ningxin Su

Papers from arXiv.org

Abstract: Large language models (LLMs) have shown strong performance across diverse financial tasks, yet portfolio management (PM) remains poorly benchmarked. Existing benchmarks exhibit two gaps: they are often equity-only and ignore cross-asset correlations; they fail to evaluate the complete PM decision pipeline. We introduce PortBench, a benchmark spanning six heterogeneous asset classes over ten years. PortBench comprises two layers: a static QA dataset of 6,269 questions across seven task templates, and a dynamic five-stage allocation pipeline. To evaluate these layers, we introduce two metrics: a dual-layer correlation score for inter-class hedging and intra-class concentration, and CEPS, which quantifies how reasoning errors compound across pipeline stages. We further evaluate under three stress regimes and risk profiles, and support real-time evaluation to mitigate pretraining contamination on historical markets. Evaluating ten frontier LLMs, we find that despite strong financial QA performance, 90\% of model-profile cases fail to outperform equal-weight allocation in 2024, and this deficit persists across other market regimes; models that satisfy every procedural constraint still suffer large drawdowns under stress. Our source code is available at \href{https://github.com/AgenticFinLab/portbench}{this https URL}.

Date: 2026-05, Revised 2026-08
New Economics Papers: this item is included in nep-rmg
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