Shortfall from Maximum Convexity
Statistical Finance
2015-10-06 v1
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.
Cite
@article{arxiv.1510.00941,
title = {Shortfall from Maximum Convexity},
author = {Matthew Ginley},
journal= {arXiv preprint arXiv:1510.00941},
year = {2015}
}