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Volatility (and XG outputs)

Posted By: Sam Pottle
Date: Wednesday, 21 December 2011, at 12:52 a.m.

In Response To: Volatility (and XG outputs) (Jeremy Bagai)

Perhaps another useful metric would be (% market losers)(average market loss)?

Yes! Expected market loss. Just computing the variance is not sufficient, even in conjunction with the static equity and the takepoint, because the distribution is not always symmetric. That is, you may have a double if you have a lot of rolls that lose a little equity, and a few big market losers, but not the other way around. Same equity, same variance, different cube action.

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