HAL/Brent 20-day realized-vol ratio: top quintile and forward 10-day returns
The comfortable story for oil-services names is that volatility shocks create washouts, and washouts mean-revert. So the test is straightforward: when HAL's 20-day realized volatility runs in its top quintile relative to Brent's, do the next ten days tend to beat the baseline?
Across the usable sample, the answer is no, and the signal points slightly the wrong way. The 31 top-quintile days averaged roughly 1.3% forward 10-day returns versus about 2.1% for the bottom 80% and 2.0% overall. But with a Welch p-value near 0.69 and a rank correlation of -0.04, that gap is noise, not edge. The full methodology, charts, and return breakdowns are below.
For HAL over the past ~3 years, does a top-quintile ratio of HAL's 20-day realized volatility to Brent crude's 20-day realized volatility predict above-baseline forward 10-day returns? I expect oil-services shares to overreact to crude volatility shocks, so extreme relative volatility marks a fear-driven washout that mean-reverts as oil stabilizes.
How this was measured
Daily HAL close-to-close returns were resampled from minute bars, and 20-day realized volatility was calculated as the rolling standard deviation of daily returns annualized by sqrt(252). The same 20-day realized volatility was calculated for Brent crude from the daily macro series. The signal is the ratio HAL_RV20 / Brent_RV20, evaluated each day against its trailing 252-day 80th percentile, so the top-quintile classification uses only data available at the close of day t. Forward 10-trading-day HAL returns were measured as close[t+10]/close[t]-1. Top-quintile and bottom-80% forward returns were compared with a Welch two-sample t-test and a one-sided p-value.
The key numbers
Reading the numbers
Days when HAL’s volatility was most extreme relative to Brent averaged +1.26% over the next 10 days, versus +2.14% for all other days — a -0.88% gap. With p=0.69, that gap is small enough to be pure chance, so the fear-driven rebound idea isn't supported.
The charts
This line chart tracks HAL's 20-day realized volatility relative to Brent's, with a trailing 80th-percentile line around 1.43 to 1.54 marking the top-quintile cutoff. Most of the time the ratio sits below that line — its average is about 1.11 — so extreme relative-volatility days are rare spikes rather than a persistent state. The occasional crossings above the line are exactly the signal days tested, but they don't cluster into obvious panic episodes.
The box plot compares the spread of forward 10-day returns for the bottom 80% of RV-ratio days versus the top quintile. The top-quintile group's average return is 1.26%, below the bottom group's 2.14%, and its range (-19.8% to +23.5%) is not shifted higher than the bottom group's range. So extreme relative volatility did not precede the kind of outsized rebound you'd expect from a fear-driven washout.
The bar chart puts the headline comparison side by side: the top-quintile mean forward 10-day return (1.26%) is actually lower than the bottom-80% mean (2.14%). The gap is -0.88 percentage points, and the one-sided p-value of 0.6867 means there's no statistical evidence that extreme RV-ratio days beat ordinary days. In plain terms, high relative volatility at HAL didn't predict above-baseline forward returns in this sample.
Forward 10-day return summary by RV-ratio bucket
| Bucket | N | Mean | Median | Std | Positive share |
|---|---|---|---|---|---|
| Bottom 80% | 161 | 0.0214 | 0.0139 | 0.1064 | 0.559 |
| Top 20% RV ratio | 31 | 0.0126 | 0.0129 | 0.0892 | 0.5806 |
| All usable days | 192 | 0.02 | 0.0132 | 0.1036 | 0.5625 |
Recent top-quintile signal dates
| Date | RV ratio | Fwd 10d return |
|---|---|---|
| 2025-10-27 | 1.587 | 0.0358 |
| 2025-10-28 | 1.538 | 0.0522 |
| 2025-10-29 | 1.59 | -0.0233 |
| 2025-10-30 | 1.631 | 0.0052 |
| 2025-10-31 | 1.635 | 0.0129 |
| 2025-11-03 | 1.654 | -0.0202 |
| 2025-11-04 | 1.619 | -0.0149 |
| 2025-11-05 | 1.581 | -0.0233 |
| 2025-11-06 | 1.54 | -0.0647 |
| 2025-11-07 | 1.541 | -0.0635 |
| 2025-11-12 | 1.549 | -0.038 |
| 2025-11-17 | 1.545 | 0.0135 |
The takeaway
The short answer is no: over the roughly 15 months of usable data, days when HAL's 20-day realized volatility sat in its top quintile relative to Brent's did not predict above-baseline forward 10-day returns. In fact, the signal pointed the wrong way — top-quintile days averaged +1.26% over the next 10 days versus +2.14% for the bottom 80% and +2.00% for all days. With only 31 top-quintile signals and a Welch p-value of 0.687, this is basically a coin flip: there is no meaningful evidence that extreme relative volatility marks a washout that mean-reverts. The median forward return was nearly identical across buckets (about +1.3% for both), and the positive-hit rate was also similar (58% vs. 56%), so the slightly lower average is just noise. The rank correlation between the RV ratio and forward returns was essentially zero at -0.043. For a trader hoping for a fear-driven rebound edge, this sample offers no support; if anything, it suggests high relative volatility has been mildly associated with weaker, not stronger, forward returns.
The fine print
- The effective sample is just 31 top-quintile days, and overlapping 10-day forward windows make the statistical test less independent than it appears.
- The realized top-quintile share was 16.1% rather than exactly 20% because the threshold uses a trailing 252-day rolling 80th percentile.
- The RV ratio can spike simply because Brent's own volatility is very low, not because HAL is experiencing an outsized absolute shock.
- The analysis does not control for broad market moves or oil-price levels, which could mask or distort any real relationship.