The CORR of a model is it’s correlation with the targets, which is distinct from the metamodel, right?
You are right and I edited my post.
Your example is interesting and I basically agree with almost everything you say. It explains why TC is important for Numerai’s fund. Then why do I insist that CORR should be kept? Because being good for the fund doesn’t necessarily mean being fair for the users.
Consider your example, and let’s imagine staking on CORR was not possible and only TC staking was available. The model with CORR 0.02 would receive negative TC until its stake became 0. At that point the model with CORR 0.03 would receive TC=0 (this is the important stuff). Do you think is fair to not being paid even though the model predictions are usuful? I don’t like that and that’s why I want staking on CORR too. Maybe I could accept a mandatory stake on TC while keeping the stake on CORR.
This issue was firstly explained here.
One last minor detail. The model with CORR 0.02 in reality might get a higher TC because its predictions (or its predictions combined with other models’ predictions) could fit better the portfolio optimizer. You can indeed see models with negative CORR receive positive TC.