The volatility tax is a mathematical finance term first published by Rick Ashburn, CFA in a 2003 column, and formalized by hedge fund manager Mark Spitznagel, describing the effect of large investment losses (or volatility) on compound returns. It has also been called volatility drag, volatility decay or variance drain.
The volatility tax is a mathematical finance term first published by Rick Ashburn, CFA in a 2003 column, and formalized by hedge fund manager Mark Spitznagel, describing the effect of large investment losses (or volatility) on compound returns. It has also been called volatility drag, volatility decay or variance drain.
Source: Wikipedia "Volatility tax" · CC BY-SA 4.0
Share this article: X · Bluesky