What the Backtest Portfolio
Looks Like
This is a simulated portfolio, not a live traded book. It shows how a strategy that mechanically follows the top RACS signals would have performed, after realistic transaction costs and execution constraints.
How to Read This Page
Click any card for a plain-English explanation of the key metric.
Portfolio Exposure
Latest snapshot
Top Holdings
Ranked by RACS regime-adjusted conviction score
| # | Ticker | Weight | RACS | Regime |
|---|---|---|---|---|
| 1 | JPM | 6.31% | 0.2561 | Goldilocks |
| 2 | QCOM | 6.28% | 0.2488 | Goldilocks |
| 3 | ITW | 6.31% | 0.2422 | Goldilocks |
| 4 | ORCL | 6.09% | 0.2416 | Goldilocks |
| 5 | MSCI | 5.50% | 0.2280 | Goldilocks |
| 6 | V | 5.34% | 0.2228 | Goldilocks |
| 7 | AXP | 5.47% | 0.2218 | Goldilocks |
| 8 | META | 6.44% | 0.2199 | Goldilocks |
| 9 | ACN | 4.45% | 0.1873 | Goldilocks |
| 10 | CI | 4.71% | 0.1733 | Goldilocks |
Fama-French 5-Factor + Momentum Attribution
Fama-French 5-Factor + Momentum. Alpha 8.9% p.a., t-stat 3.12. Low market beta (0.23) confirms factor orthogonality.
High idiosyncratic variance (green) means the strategy's returns are not explained by market or factor exposure; evidence of stock-selection skill rather than a beta bet.
Capacity Analysis
Capacity cliff at ~$500M AUM based on 5% ADV participation limit. Full capacity ~$847M.
Execution Model
Transaction cost and realism parameters applied to the backtest engine