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home / news releases / BIB - Conceptualizing The Volatility Decay Of Leveraged Funds

BIB - Conceptualizing The Volatility Decay Of Leveraged Funds

ProShares Ultra Nasdaq Biotechnology
  • In this article I will walk you through the commonly used but wrong way to think about volatility decay.
  • We'll then walk through an example of volatility decay with realistic numbers.
  • Afterwards, we'll build a simple mathematical model to calculate volatility decay from first principles.
  • We'll compare the model with back-test simulations done on portfoliovisualizer.com.

For further details see:

Conceptualizing The Volatility Decay Of Leveraged Funds
Stock Information
Company Name: ProShares Ultra Nasdaq Biotechnology
Stock Symbol: BIB
Market: NASDAQ
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