LLM-Generated Counterfactual Stress Scenarios for Portfolio Risk Simulation via Hybrid Prompt-RAG Pipeline

Large language models (LLMs) have shown strong performance across diverse financial tasks, yet portfolio management (PM) remains poorly evaluated. Existing benchmarks exhibit two gaps: they are often equity-only and ignore cross-asset correlations; they provide limited insight into where errors arise and how they affect subsequent decisions. We introduce PortBench, a benchmark with market data spanning six asset classes from 2015 to 2025. PortBench comprises a static QA dataset of 6,269 questions across seven task templates and a dynamic five-stage portfolio evaluation. Dynamic evaluation uses a class-level correlation score for allocation and CEPS to summarize reference-based stage scores. We further evaluate under three stress windows and three risk profiles, and support real-time evaluation on newly arriving market data. Evaluating ten LLMs reveals a disconnect: high financial QA scores do not ensure consistent portfolio outperformance. LLMs concentrate exposure in correlated assets, and their portfolios achieve higher Sharpe than equal weighting in 54.2% of 120 evaluations across four market periods. Our source code is available at this https URL.

Large Language Models (LLMs) are rapidly transitioning from static Natural Language Processing (NLP) tasks including sentiment analysis and event extraction to acting as dynamic decision-making agents in complex financial environments. However, the evolution of LLMs into autonomous financial agents faces a significant dilemma in evaluation paradigms. Direct live trading is irreproducible and prone to outcome bias by confounding luck with skill, whereas existing static benchmarks are often confined to entity-level stock picking and ignore broader market attention. To facilitate the rigorous analysis of these challenges, we introduce CN-Buzz2Portfolio, a reproducible benchmark grounded in the Chinese market that maps daily trending news to macro and sector asset allocation. Spanning a rolling horizon from 2024 to mid-2025, our dataset simulates a realistic public attention stream, requiring agents to distill investment logic from high-exposure narratives instead of pre-filtered entity news. We propose a Tri-Stage CPA Agent Workflow involving Compression, Perception, and Allocation to evaluate LLMs on broad asset classes such as Exchange Traded Funds (ETFs) rather than individual stocks, thereby reducing idiosyncratic volatility. Extensive experiments on nine LLMs reveal significant disparities in how models translate macro-level narratives into portfolio weights. This work provides new insights into the alignment between general reasoning and financial decision-making, and all data, codes, and experiments are released to promote sustainable financial agent research.

Do Large Language Models (LLMs) possess genuine structural reasoning, or merely rely on surface-level pattern matching? The financial domain, demanding numerical precision and multi-step logic over long contexts, is an ideal testbed. Existing benchmarks fail to capture real-world industrial complexity, predominantly relying on multiple-choice questions or single-hop QA over cropped tables while ignoring intricate cross-statement dynamics and temporal de-cumulation. To bridge this gap, we introduce FinIndices, a large-scale benchmark evaluating data-processing fidelity over uncropped financial statements (up to 32K tokens). Utilizing an automated synthesis pipeline with adversarial traps, FinIndices encompasses Single-Index computation and Table-Index tabulation to test complex domain, temporal, and caliber reasoning. Our evaluation reveals two severe LLM vulnerabilities. First, a "Knowledge Bottleneck": despite memorizing formulas during pre-training, models demonstrate fragile pattern matching. Removing explicit formula hints causes performance to collapse (e.g., Gemini-3.1-Pro drops from 70.70% to 38.22% on table tasks), exposing fatal flaws in temporal de-cumulation and stock-flow caliber mismatch. Second, a "Structural Bottleneck": the intense cognitive load of generating multi-metric, multi-period tables actively drains reasoning capacity. Under structural pressure, LLMs that flawlessly execute isolated derivations regress to shallow heuristics, such as fetching incorrect adjacent columns or substituting deep accounting adjustments with lazy literal arithmetic. Finally, Supervised Fine-Tuning (SFT) yields substantial zero-hint gains (+8.54% Single, +3.82% Table), validating that structured logic can be partially restored via data-centric alignment.