dates: 78 names: 3900 pooled spearman(width, realized 21d vol) = +0.577 per-date mean rho = +0.631 (t=+54.95, n=78)
forecast top-quartile (n=78 dates)
equal-weight: mean +1.951% Sharpe1.16 maxDD -25.6%
inverse-width: mean +1.765% Sharpe1.18 maxDD -24.1%
paired D -0.186% CI[-0.404%,+0.051%]
momentum top-decile (n=78 dates)
equal-weight: mean +2.589% Sharpe1.00 maxDD -32.5%
inverse-width: mean +2.128% Sharpe0.91 maxDD -30.3%
paired D -0.461% CI[-0.873%,-0.056%]
portfolio vol-target (mom top-decile, expanding calib)
width->book-vol calibration rho +0.376 (n=66)
unscaled: mean +1.998% Sharpe0.89 maxDD -23.9%
vol-target: mean +1.810% Sharpe0.90 maxDD -20.1%
avg exposure 0.88
Caveat: width available only on the 78 monthly quantile dates; confirm on a weekly width backfill before any adoption.