Decision-Based Backtesting
Evaluate historical alpha generated by each ISC allocation decision
Total Alpha (ISC Decisions)
6 decisions evaluated
Decision Win Rate
5 of 6 decisions positive
Best Decision
Mid-Year Review — Private Equity
Avg Signal Score
At time of decision
Cumulative Alpha from ISC Decisions
Running total alpha generated since tracking began
Alpha by Decision
Individual decision alpha contribution (sorted by impact)
Decision Alpha Detail
All evaluated ISC decisions with alpha estimates
| Date | Decision | Asset Class | Type | Conviction | Signal | Alpha Est. | Regime | Outcome |
|---|---|---|---|---|---|---|---|---|
| 2024-01-15 | Q1 2024 Tactical Shift — EM Overweight | Emerging Markets | Tactical | High | 78 | +0.820% | Bull Market | positive |
| 2024-03-22 | Q1 Rebalance — Fixed Income Duration Reduction | Taxable Fixed Income | Rebalance | Moderate | 62 | +0.410% | Bull Market | positive |
| 2024-06-10 | Mid-Year Review — Private Equity Increase | Private Equity | Strategic | High | 71 | +1.280% | Neutral | positive |
| 2024-09-05 | Q3 Adjustment — Commodities Underweight | Commodities | Tactical | Low | 38 | -0.350% | Neutral | negative |
| 2024-12-12 | Year-End Review — U.S. Large Cap Overweight | U.S. Large Cap | Tactical | High | 85 | +0.940% | Bull Market | positive |
| 2024-04-28 | Q2 High Yield — Credit Spread Opportunity | High Yield | Opportunistic | Moderate | 66 | +0.670% | Bull Market | positive |
Alpha estimate = forward excess return over neutral weight for the decision's time horizon. Win = alpha > 0.
Win Rate by Asset Class
% of decisions that generated positive alpha
Signal Score vs Alpha
Higher signals should generate more alpha
Alpha by Market Regime
Average decision alpha by regime at time of decision
Conviction vs Alpha Outcome
Do high-conviction calls generate more alpha?
Counterfactual Analysis
What if we had stayed at neutral weight for an asset class?
| Decision | Date | Alpha (Actual) | Counterfactual (Neutral) | Delta |
|---|---|---|---|---|
| Q1 2024 Tactical Shift — EM Overweight | 2024-01-15 | +0.820% | +0.000% | +0.820% |
| Total (Emerging Markets) | — | +0.820% | +0.000% | +0.820% |
Counterfactual assumes zero active tilt — staying at neutral benchmark weight throughout the period.