Agent Policy-Value Audit: Separating Transition Composition from Event Selection in Financial LLM Agents

Financial LLM agents are often evaluated by comparing their end-to-end returns with those of a baseline and testing the paired difference against zero. This measures whether deploying the agent changes realized performance, but it does not isolate event-selection skill. An agent that frequently changes positions from flat to long can earn a positive paired return from an upward-drifting event pool even when it selects events at random. We propose the Agent Policy-Value Audit, which holds fixed the observed count of each ordered action-change type and randomly reassigns them across eligible events. The average payoff from these reassignments is the composition benchmark; the difference between observed deployment value and this benchmark is selection value. In semi-synthetic benchmarks based on real earnings-event returns, a zero-centered paired test falsely attributes passive exposure to selection skill in 11.6% of no-skill replications, while the transition-matched audit reduces this rate to 5.3%. Applied retrospectively to 723 earnings events at 44 U.S. consumer-facing firms, the audit decomposes the agent's gross deployment value of +15.2 bps/event into a +25.8 composition benchmark and a -10.6 selection value. The agent does not detectably outperform matched random assignments. Financial-agent evaluations should report deployment value separately from event-selection value.