2015/10/04 by Matthew Ginley, Ginley, Matthew
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Statistical Finance (q-fin.ST) #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1510.00941
arxiv created 2015/10/04 · openalex publication_date 2015/10/04 · arxiv updated 2015/10/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.