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arXiv · 1510.00941

Shortfall from Maximum Convexity

Matthew Ginley
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Abstract

We review the dynamics of the returns of Leveraged Exchange Traded Funds (LETFs) and propose a new measure of realized volatility: Shortfall from Maximum Convexity. We show that SMC has a more intuitive interpretation and provides more statistical information compared to the traditionally used sample standard deviation when applied to LETF returns, a dataset where normality and independence do not hold.

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BibTeXRIS

Matthew Ginley. 2015-10-04. Shortfall from Maximum Convexity. https://arxiv.org/abs/1510.00941

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