"Edge-hunt 50 — implied-correlation / rate-vol structure vs SPY" · Quant Trading Research & Paper-Trading Lab

Series COR1M, COR3M, COR3M/COR1M, MOVE | z252 level, lag-1 PIT | SPY long/flat, 10bps/switch | IS<2016<=OOS | Bonferroni bar p<0.00625 over 8.

#Forward-return IC (block-permutation p, block 5)

series	horizon	n	corr	perm p	start
COR1M	1d	5090	+0.038	0.003	2006-01-03
COR1M	21d	5090	+0.097	0.001	2006-01-03
COR3M	1d	5089	+0.035	0.004	2006-01-03
COR3M	21d	5089	+0.136	0.000	2006-01-03
COR3M/COR1M	1d	5089	-0.011	0.385	2006-01-03
COR3M/COR1M	21d	5089	-0.025	0.373	2006-01-03
MOVE	1d	5720	+0.007	0.549	2002-11-12
MOVE	21d	5720	-0.008	0.772	2002-11-12

#Directional overlays (long/flat, matched-exposure placebo)

series	dir	scope	Sharpe	buy-hold	exposure	placebo p	survives
COR1M	long z>0	IS	0.32	0.46	37%	0.0000	no
COR1M	long z>0	OOS	0.38	0.88	36%	0.0000	no
COR1M	long z<0	IS	-0.18	0.46	42%	0.0835	no
COR1M	long z<0	OOS	0.70	0.88	64%	0.0000	no
COR3M	long z>0	IS	0.27	0.46	35%	0.0005	no
COR3M	long z>0	OOS	0.42	0.88	35%	0.0000	no
COR3M	long z<0	IS	-0.02	0.46	44%	0.0185	no
COR3M	long z<0	OOS	0.61	0.88	65%	0.0000	no
COR3M/COR1M	long z>0	IS	-0.10	0.46	35%	0.0220	no
COR3M/COR1M	long z>0	OOS	0.28	0.88	43%	0.0005	no
COR3M/COR1M	long z<0	IS	0.23	0.46	44%	0.0005	no
COR3M/COR1M	long z<0	OOS	0.52	0.88	57%	0.0000	no
MOVE	long z>0	IS	0.00	0.46	35%	0.0020	no
MOVE	long z>0	OOS	0.18	0.88	41%	0.0015	no
MOVE	long z<0	IS	0.55	0.46	65%	0.0000	yes
MOVE	long z<0	OOS	0.99	0.88	59%	0.0000	yes

#Mode-2 controls + VIX comparator

series	corr(VIX z)	IC raw	IC partial
COR1M	+0.75	+0.097	+0.114
COR3M	+0.73	+0.136	+0.172
COR3M/COR1M	-0.48	-0.025	-0.011
MOVE	+0.50	-0.011	-0.036
VIX z<0 (comparator, lag-1) (IS)	—	—	Sharpe 0.21 vs BH 0.46
VIX z<0 (comparator, lag-1) (OOS)	—	—	Sharpe 0.86 vs BH 0.88

#MOVE long-z<0 robustness (later lags, yearly)

lag	scope	Sharpe	buy-hold
lag-1 (base)	IS	0.55	0.46
lag-1 (base)	OOS	0.99	0.88
lag-2	IS	0.31	0.46
lag-2	OOS	0.78	0.88
lag-6	IS	0.71	0.46
lag-6	OOS	0.42	0.88

MOVE z<0 yearly net Sharpe: 2004:1.21; 2005:0.17; 2006:0.90; 2007:0.29; 2008:-0.59; 2009:1.60; 2010:0.07; 2011:-1.16; 2012:1.12; 2013:2.55; 2014:0.66; 2015:-0.22; 2016:-0.92; 2017:2.65; 2018:0.80; 2019:1.44; 2020:1.57; 2021:0.34; 2022:-1.87; 2023:1.47; 2024:1.77; 2025:1.69; 2026:0.55

#Verdict

REJECT — ['MOVE:long z<0'] beats buy-hold in both IS and OOS AND clears the Bonferroni placebo bar; MOVE long-z<0 at later lags does NOT beat buy-hold at every lag (fragile). Implied correlation (COR1M/COR3M) has a positive 21d IC but is not harvestable long-only and is largely a VIX proxy.

#Reading

High vs low implied correlation is signed both ways (macro-co-move vs dispersion environment); sign alone is not a verdict.
Partial IC over VIX z + momentum is the mode-2 test: if it collapses, the signal is a VIX proxy. Runtime 39s.

series

horizon

corr

perm p

start

COR1M

5090

+0.038

0.003

2006-01-03

COR1M

21d

5090

+0.097

0.001

2006-01-03

COR3M

5089

+0.035

0.004

2006-01-03

COR3M

21d

5089

+0.136

0.000

2006-01-03

COR3M/COR1M

5089

-0.011

0.385

2006-01-03

COR3M/COR1M

21d

5089

-0.025

0.373

2006-01-03

MOVE

5720

+0.007

0.549

2002-11-12

MOVE

21d

5720

-0.008

0.772

2002-11-12

Directional overlays (long/flat, matched-exposure placebo)

series

dir

scope

Sharpe

buy-hold

exposure

placebo p

survives

COR1M

long z>0

0.32

0.46

37%

0.0000

COR1M

long z>0

OOS

0.38

0.88

36%

0.0000

COR1M

long z<0

-0.18

0.46

42%

0.0835

COR1M

long z<0

OOS

0.70

0.88

64%

0.0000

COR3M

long z>0

0.27

0.46

35%

0.0005

COR3M

long z>0

OOS

0.42

0.88

35%

0.0000

COR3M

long z<0

-0.02

0.46

44%

0.0185

COR3M

long z<0

OOS

0.61

0.88

65%

0.0000

COR3M/COR1M

long z>0

-0.10

0.46

35%

0.0220

COR3M/COR1M

long z>0

OOS

0.28

0.88

43%

0.0005

COR3M/COR1M

long z<0

0.23

0.46

44%

0.0005

COR3M/COR1M

long z<0

OOS

0.52

0.88

57%

0.0000

MOVE

long z>0

0.00

0.46

35%

0.0020

MOVE

long z>0

OOS

0.18

0.88

41%

0.0015

MOVE

long z<0

0.55

0.46

65%

0.0000

yes

MOVE

long z<0

OOS

0.99

0.88

59%

0.0000

yes

series

corr(VIX z)

IC raw

IC partial

COR1M

+0.75

+0.097

+0.114

COR3M

+0.73

+0.136

+0.172

COR3M/COR1M

-0.48

-0.025

-0.011

MOVE

+0.50

-0.011

-0.036

VIX z<0 (comparator, lag-1) (IS)

—

Sharpe 0.21 vs BH 0.46

VIX z<0 (comparator, lag-1) (OOS)

—

Sharpe 0.86 vs BH 0.88

MOVE long-z<0 robustness (later lags, yearly)

lag

scope

Sharpe

buy-hold

lag-1 (base)

0.55

0.46

lag-1 (base)

OOS

0.99

0.88

lag-2

0.31

0.46

lag-2

OOS

0.78

0.88

lag-6

0.71

0.46

lag-6

OOS

0.42

0.88