Shortfall from Maximum Convexity

Matthew Ginley

Papers from arXiv.org

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.

Date: 2015-10
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1510.00941

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