Objective
Improve MTP Portfolio corr vs AS.
Notes: MTP corr 0.931→0.971 via DBC→PDBC stitch + fixed a_Co=0.045/a_Re=0.605 (hist-alloc). Official verify PASS CAGRΔ +0.04%. Findings: mtp-portfolio-corr-t120.md
Approach
Reuses existing report research/findings/mtp-portfolio-corr-t120.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 t120):
2fef4eccresearch: t120 MTP corr 0.931→0.971 (DBC stitch + calibrated a) (#104)2fef4eccresearch: t120 MTP corr 0.931→0.971 (DBC stitch + calibrated a) (#104)- Source report:
research/findings/mtp-portfolio-corr-t120.md - Task-history entry:
research/findings/task-history.json#t120
Results
Key table from source report (preserved):
| variant | monthly corr | CAGRΔ | notes |
|---|---|---|---|
| optimistic a_Co=0 / a_Re=1 (t101) | 0.931 | +1.14% | no PDBC stitch |
| App-C estimated on ETF history | ~0.90 | −0.6% | underpowered vs AS 1958+ WF |
Conclusions and metrics are in research/findings/mtp-portfolio-corr-t120.md; see detail page for preserved tables/metrics.
Conclusions
MTP corr 0.931→0.971 via DBC→PDBC stitch + fixed a_Co=0.045/a_Re=0.605 (hist-alloc). Official verify PASS CAGRΔ +0.04%. Findings: mtp-portfolio-corr-t120.md
Problems / follow-ups
- See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.
Links
- Task-history:
research/findings/task-history.jsonidt120 - Findings:
research/findings/mtp-portfolio-corr-t120.md - Commits:
2fef4ecc,2fef4ecc