सभी किताबें

पेशेवर

ऐप्स परिचय Coach लॉग इन पढ़ना शुरू करें

Quantitative Finance · शब्दावली

Volatility decay क्या है?

Definition 14.12 Markets I: The Ecosystem and Exchange-Traded Markets · अध्याय 14 — Exchange-Traded Funds

Volatility decay is the shortfall of a leveraged fund’s multi-day return relative to β\beta times (or the β\beta-th power of) the index’s return over the same period, caused by daily resetting in a volatile market.

One simulated year with a daily volatility of 2% and daily returns that sum to zero. The index ends 5.8% lower; three times that would be -17.4\%; the three-times fund ends 41.8% lower. Data: the tutorial’s simulation.
Figure 14.5. One simulated year with a daily volatility of 2% and daily returns that sum to zero. The index ends 5.8% lower; three times that would be −17.4%-17.4\%; the three-times fund ends 41.8% lower. Data: the tutorial’s simulation.
अध्याय में पढ़ें →