Experimenters often collect baseline data to study heterogeneity. I propose the first valid confidence intervals for the VCATE, the treatment effect variance explained by observables. Conventional approaches yield incorrect coverage when the VCATE is zero. As a result, practitioners could be prone to detect heterogeneity even when none exists. The reason why coverage worsens at the boundary is that all efficient estimators have a locally-degenerate influence function and may not be asymptotically normal. I solve the problem for a broad class of multistep estimators with a predictive first stage. My confidence intervals account for higher-order terms in the limiting distribution and are fast to compute. I also find new connections between the VCATE and the problem of deciding whom to treat. The gains of targeting treatment are (sharply) bounded by half the square root of the VCATE. Finally, I document excellent performance in simulation and reanalyze an experiment from Malawi.