Quant thesis: When XLU's 20-day rolling correlation to VIX drops below 0.1 (near zero or negative) while broad market volatility spikes, utilities have decoupled as safe havens. This regime reversal historically completes within 5–7 days. Utilities act as volatility hedges; negative VIX correlation signals markets are pricing safe-haven demand.
Plain English: When XLU's 20-day rolling correlation to VIX drops below 0.1 (near zero or negative) while broad market volatility spikes, utilities have decoupled as safe havens. This regime reversal historically completes within 5–7 days. Utilities act as volatility hedges; negative VIX correlation signals markets are pricing safe-haven demand.
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When XLU's 20-day rolling correlation to VIX drops below 0.1 (near zero or negative) while broad market volatility spikes, utilities have decoupled as safe havens. This regime reversal historically completes within 5–7 days. Utilities act as volatility hedges; negative VIX correlation signals markets are pricing safe-haven demand.
When XLU's 20-day rolling correlation to VIX drops below 0.1 (near zero or negative) while broad market volatility spikes, utilities have decoupled as safe havens. This regime reversal historically completes within 5–7 days. Utilities act as volatility hedges; negative VIX correlation signals markets are pricing safe-haven demand.
When XLU's 20-day rolling correlation to VIX drops below 0.1 (near zero or negative) while broad market volatility spikes, utilities have decoupled as safe havens. This regime reversal historically completes within 5–7 days. Utilities act as volatility hedges; negative VIX correlation signals markets are pricing safe-haven demand.
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Data source instability, false positives, and regime shifts.