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reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md
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# Focused daily portfolio-capacity matrix
Generated: 2026-08-05T18:12:50.577686+00:00
## Question
The current daily Phase A control admitted 472 trades and rejected 519 qualified opportunities because the ten-slot book was full. This run brackets the economic cost of that binding constraint; it has no formal promotion gate.
> Universe caveat: today's production membership is projected backward. Use paired arm-versus-control differences, not absolute profitability, for construction conclusions.
## Paired annual medians
### Empty Book — 0.10% per fill
| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context |
|---|---:|---:|---:|---:|
| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] |
| cash_unbounded | 0.137 | [0.120, 0.185] | 0.000 | [-0.010, 0.270] |
| cap10_weekly_top10 | 0.092 | [0.040, 0.117] | 0.000 | [-0.040, 0.000] |
| cap15_incumbent | 0.098 | [0.022, 0.183] | 0.000 | [-0.010, 0.160] |
| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
|---|---:|---:|---:|---:|---:|
| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| cash_unbounded | 0.094 | 0.068 | 0.313 | 0.800 | 3.800 |
| cap10_weekly_top10 | -0.035 | -0.052 | -0.196 | -5.700 | 2.850 |
| cap15_incumbent | 0.037 | 0.017 | 0.168 | -0.050 | 2.150 |
### Warm Book — 0.10% per fill
| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context |
|---|---:|---:|---:|---:|
| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] |
| cash_unbounded | 0.119 | [-0.014, 0.214] | 0.000 | [-0.045, 0.150] |
| cap10_weekly_top10 | 0.068 | [0.063, 0.154] | 0.000 | [-0.110, 0.020] |
| cap15_incumbent | 0.063 | [-0.104, 0.145] | 0.000 | [-0.020, 0.110] |
| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
|---|---:|---:|---:|---:|---:|
| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| cash_unbounded | 0.069 | 0.018 | -0.921 | -4.500 | 0.000 |
| cap10_weekly_top10 | 0.000 | -0.026 | -0.869 | -4.100 | 3.900 |
| cap15_incumbent | 0.035 | 0.006 | -0.994 | -0.900 | 1.050 |
## Warm-seed initialization dispersion
| Arm | Cost/fill | Median EV IQR ratio | Median Calmar IQR ratio |
|---|---:|---:|---:|
| cap10_incumbent | 0.10% | n/a | n/a |
| cash_unbounded | 0.10% | n/a | n/a |
| cap10_weekly_top10 | 0.10% | n/a | n/a |
| cap15_incumbent | 0.10% | n/a | n/a |
| cap10_incumbent | 0.20% | n/a | n/a |
| cash_unbounded | 0.20% | n/a | n/a |
| cap10_weekly_top10 | 0.20% | n/a | n/a |
| cap15_incumbent | 0.20% | n/a | n/a |
## Capacity and operations — 0.10% per fill
| Arm | Median trades | Median blocked | Median positions | Peak | Turnover | Min-risk rejects |
|---|---:|---:|---:|---:|---:|---:|
| cap10_incumbent | 212.0 | 98.4% | 10.00 | 10 | 14.72 | 0 |
| cash_unbounded | 340.0 | 0.0% | 18.24 | 41 | 19.04 | 2719474 |
| cap10_weekly_top10 | 303.0 | 97.1% | 9.99 | 10 | 18.07 | 0 |
| cap15_incumbent | 327.0 | 97.3% | 14.78 | 15 | 17.30 | 0 |
## Weekly-ranking opportunity set
- Median fresh entrant pool: 47.0.
- Median zero-entrant fraction: 0.000.
- Replacements across reported paths: 15081.
- Same-symbol re-entries within 10 sessions: 4081.
Bootstrap intervals above resample seven annual summaries and are descriptive context only. They are not gates or independent-population confidence claims.