CN-Buzz2Portfolio: A Chinese-Market Dataset and Benchmark for LLM-Based Macro and Sector Asset Allocation from Daily Trending Financial News
Organizations: Tsinghua Shenzhen International Graduate School · E Fund Management Co., Ltd. · Hong Kong Polytechnic University
Abstract
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.
Figures & tables
| Model | 2024 Task A: Macro Allocation | 2024 Task B: Sector Rotation | ||||||
|---|---|---|---|---|---|---|---|---|
| Return | Sharpe | MaxDD | Volatility | Return | Sharpe | MaxDD | Volatility | |
| Reasoning Models | ||||||||
| DeepSeek-R1 | 7.47% | 0.51 | -10.71% | 0.177 | 28.37% | 1.14 | -12.93% | 0.255 |
| Qwen3-32B-Think | 5.56% | 0.50 | -7.66% | 0.128 | 21.67% | 0.94 | -16.21% | 0.249 |
| Qwen3-Max-Think | 8.98% | 0.62 | -10.95% | 0.167 | 40.11% | 1.52 | -15.84% | 0.251 |
| Standard Models | ||||||||
| Variance Statistic | 2024 | 2024 | 2025 | 2025 |
|---|---|---|---|---|
| (Scaled by ) | Macro | Sector | Macro | Sector |
| Total Variance | 1.57 | 9.14 | 0.48 | 0.50 |
| Between-Model Var. ( ) | 1.26 | 6.43 | 0.25 | 0.33 |
| Within-Model Var. ( ) | 0.32 | 2.71 | 0.23 | 0.17 |
| Efficacy Ratio ( ) | 3.98 | 2.37 | 1.09 | 1.98 |
| Avg. Reasoning Stability ( ) | 1.27 | 1.58 | 0.83 | 1.14 |
| Panel A: 2024 Full Year (High Volatility / Policy Shift) | ||||||||
|---|---|---|---|---|---|---|---|---|
| Model | Task A: Macro Allocation | Task B: Sector Rotation | ||||||
| Top-0 | Top-5 | Top-10 | Top-20 | Top-0 | Top-5 | Top-10 | Top-20 | |
| Reasoning Models | ||||||||
| DeepSeek-R1 | 5.93 | 7.38 | 7.47 | 8.56 | 26.32 | 21.66 | 28.37 | 23.90 |
| Qwen3-Max-Think | 10.27 | 11.46 | 8.98 | 10.03 | 29.10 | 44.98 | 40.11 | 36.25 |
| Qwen3-32B-Think | 10.34 | 2.77 | 5.56 | 6.99 | 28.82 | 19.27 | 21.67 | 24.02 |
Appendix figures & tables4 assets
Supplementary material from the paper’s appendix.
Appendix
| Channel | Intra-day Deduplicated | Global Deduplicated | ||
|---|---|---|---|---|
| Count | Avg. Length | Count | Avg. Length | |
| Caixin | 13,365 | 926.71 | 9,813 | 967.08 |
| Sina Finance | 35,595 | 1,890.82 | 32,187 | 1,878.74 |
| Tencent Stock | 29,284 | 1,720.21 | 25,104 | 1,699.11 |
| Tiantian Fund | 28,573 | 1,653.94 | 25,195 | 1,643.44 |
| Category | Code | Asset Name | Economic Proxy Role & Semantic Scope |
| Equity | 000300.SH | CSI 300 | Blue Chips: Represents China’s core economy (Financials, Consumption). Proxy for “General Market Beta.” |
| 000905.SH | CSI 500 | Mid-Cap Growth: Representative of manufacturing and secondary growth drivers. | |
| 399006.SZ | ChiNext | Innovation: Focuses on high-tech startups in Shenzhen (Healthcare, New Energy). High volatility. | |
| 000688.SH | STAR 50 | Hard Tech: Proxy for “National Strategic Tech” (Semiconductors, Biotech) and R&D intensity. | |
| Cyclical | 000932.SH | Consumer | Domestic Demand: Tracks essential and optional consumption. Proxy for “Retail Recovery” narratives. |
| 000941.SH | New Energy | Green Transition: Covers PV, Wind, EV batteries. Sensitive to “Carbon Neutrality” policies. |
| Category | Code | Asset Name | Economic Proxy Role & Semantic Scope |
| Finance | 512880.SH | Securities | Market Beta: High elasticity to market sentiment. “Bull Market Flagbearer.” |
| 512800.SH | Banks | Value Defense: High dividend yield. Proxy for “Systemic Stability” and SOE reform. | |
| 512070.SH | Insurance | Long-Term Rates: Beneficiary of rising yields and demographic trends. | |
| Tech | 159995.SZ | Semi-cond | Tech Sovereignty: Chips, ICs. Key to “Self-Reliance” narratives. |
| 159819.SZ | AI | Trend: Computing power, Algorithms. Proxy for the global “AI Boom.” | |
| 515880.SH | Comm. Eq. | Infrastructure: 5G/6G, Data Centers. Proxy for “New Infrastructure” spending. |
| Model | Trend Acc. | Price Acc. ( ) |
|---|---|---|
| Panel A: Popular Asset (CSI 300 Index) | ||
| GPT-5 | 0.46 | 0.24 / 0.57 / 0.76 |
| DeepSeek-R1 | 0.74 | 0.20 / 0.44 / 0.73 |
| Qwen3-Max | 0.32 | 0.06 / 0.13 / 0.67 |
| Qwen3-32B | 0.60 | 0.05 / 0.13 / 0.37 |
| Panel B: Obscure Asset (ETF 159852.SZ) | ||
Financial Decision-Making
Financial decision-making studies how people and AI systems allocate money, assess risk, and choose actions under uncertainty.
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