Justifying the Volatility of S&P 500 Daily Returns
Fuente:
arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866913576721055744 |
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| author | Brown, Hayden |
| author_facet | Brown, Hayden |
| contents | Over the past 60 years, there has been a gradual increase in the volatility of daily returns for the S&P 500 Index. Hypothetically, suppose that market forces determine daily volatility such that a daily leveraged S&P 500 fund cannot outperform a standard S&P 500 fund in the long run. Then this hypothetical volatility happens to support the increase in volatility seen in the S&P 500 index. On this basis, it appears that the classic argument of the market portfolio being unbeatable in the long run is determining the volatility of S&P 500 daily returns. Moreover, it follows that the long-term volatility of the daily returns for the S&P 500 Index should continue to increase until passing a particular threshold. If, on the other hand, this hypothesis about market forces increasing volatility is invalid, then there is room for daily leveraged S&P 500 funds to outperform their unleveraged counterparts in the long run. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_01088 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Justifying the Volatility of S&P 500 Daily Returns Brown, Hayden Mathematical Finance Over the past 60 years, there has been a gradual increase in the volatility of daily returns for the S&P 500 Index. Hypothetically, suppose that market forces determine daily volatility such that a daily leveraged S&P 500 fund cannot outperform a standard S&P 500 fund in the long run. Then this hypothetical volatility happens to support the increase in volatility seen in the S&P 500 index. On this basis, it appears that the classic argument of the market portfolio being unbeatable in the long run is determining the volatility of S&P 500 daily returns. Moreover, it follows that the long-term volatility of the daily returns for the S&P 500 Index should continue to increase until passing a particular threshold. If, on the other hand, this hypothesis about market forces increasing volatility is invalid, then there is room for daily leveraged S&P 500 funds to outperform their unleveraged counterparts in the long run. |
| title | Justifying the Volatility of S&P 500 Daily Returns |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2403.01088 |