quantmodel — Improve Faber Tactical Yield corr vs AS

Objective

Improve Faber Tactical Yield corr vs AS.

Notes: TY corr 0.947→0.972 via DGS10←GS10 ITD median stitch; CAGRΔ −0.35%. Findings: tactical-yield-corr-t117.md

Approach

Reuses existing report research/findings/tactical-yield-corr-t117.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.

Files / code / data changed

Associated commits (inferred from log grep t117):

7904fce6 research: t117 Tactical Yield DGS10←GS10 corr 0.972 (#101)
7904fce6 research: t117 Tactical Yield DGS10←GS10 corr 0.972 (#101)
Source report: research/findings/tactical-yield-corr-t117.md
Task-history entry: research/findings/task-history.json#t117

Results

Key table from source report (preserved):

variant	corr	CAGRΔ	notes
DGS10 ME + BAA (t26)	0.953	−0.28%	refreshed baseline (~0.947→0.953)
daily DBAA credit @ p=0.5	~0.75	—	DBAA starts 1986 → short ITD median; reject
AAA credit only	0.955	−0.18%	tiny lift
DGS20 + BAA	0.967	−0.48%	maturity mismatch vs blog 10y
GS10 full + BAA	0.973	−0.10%	long ITD median
GS10 full + AAA	0.975	+0.01%	~+0.002 vs BAA; not shipped
DGS10 ME ← GS10 + BAA	0.974	−0.10%*	decision-day DGS10 + GS10 backfill
DGS10 ME ← GS10 + AAA	0.976	—	AAA edge only; keep BAA (IG)

Conclusions and metrics are in research/findings/tactical-yield-corr-t117.md; see detail page for preserved tables/metrics.

Conclusions

TY corr 0.947→0.972 via DGS10←GS10 ITD median stitch; CAGRΔ −0.35%. Findings: tactical-yield-corr-t117.md

Problems / follow-ups

See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.