{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2016:RVUCEF6HCJOS42L3Z2V5YJF73F","short_pith_number":"pith:RVUCEF6H","canonical_record":{"source":{"id":"1607.02410","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2016-07-08T15:24:13Z","cross_cats_sorted":[],"title_canon_sha256":"bf9b6cc14ae6b1ba8f3539a4a853b3651f930a7b2716b9d66204ed778f2cd63c","abstract_canon_sha256":"c72386b35aa208e59d4b7f7d7ab77b5fc15a8293fe0b0dbe25dfe9f3936a2aad"},"schema_version":"1.0"},"canonical_sha256":"8d682217c7125d2e697bceabdc24bfd96354dfb1b6f43eac06c4041bdc49909d","source":{"kind":"arxiv","id":"1607.02410","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1607.02410","created_at":"2026-05-18T01:11:20Z"},{"alias_kind":"arxiv_version","alias_value":"1607.02410v1","created_at":"2026-05-18T01:11:20Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1607.02410","created_at":"2026-05-18T01:11:20Z"},{"alias_kind":"pith_short_12","alias_value":"RVUCEF6HCJOS","created_at":"2026-05-18T12:30:41Z"},{"alias_kind":"pith_short_16","alias_value":"RVUCEF6HCJOS42L3","created_at":"2026-05-18T12:30:41Z"},{"alias_kind":"pith_short_8","alias_value":"RVUCEF6H","created_at":"2026-05-18T12:30:41Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2016:RVUCEF6HCJOS42L3Z2V5YJF73F","target":"record","payload":{"canonical_record":{"source":{"id":"1607.02410","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2016-07-08T15:24:13Z","cross_cats_sorted":[],"title_canon_sha256":"bf9b6cc14ae6b1ba8f3539a4a853b3651f930a7b2716b9d66204ed778f2cd63c","abstract_canon_sha256":"c72386b35aa208e59d4b7f7d7ab77b5fc15a8293fe0b0dbe25dfe9f3936a2aad"},"schema_version":"1.0"},"canonical_sha256":"8d682217c7125d2e697bceabdc24bfd96354dfb1b6f43eac06c4041bdc49909d","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T01:11:20.457324Z","signature_b64":"FWQ82Z40Iz5sT2WxDfl10SF/4dnEbiZbFEGpMAOvMiiIcM+YW4UOC16NnMwd/6tSv/QrRAhWK+JYx9MQh52nCw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"8d682217c7125d2e697bceabdc24bfd96354dfb1b6f43eac06c4041bdc49909d","last_reissued_at":"2026-05-18T01:11:20.456830Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T01:11:20.456830Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1607.02410","source_version":1,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T01:11:20Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"lDr6r1w4LA4pT45486lDMYG8ISeK2FVI2VeMVkzi07giG6RFu7EMcPVi15XrwE7og0DlRd+/ACH7PDzHS+AWCw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-02T11:06:18.253550Z"},"content_sha256":"d43b850c8005212192e9e6cfbe272d9d6f51b7d74824db0ba1f0160977d8c6b7","schema_version":"1.0","event_id":"sha256:d43b850c8005212192e9e6cfbe272d9d6f51b7d74824db0ba1f0160977d8c6b7"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2016:RVUCEF6HCJOS42L3Z2V5YJF73F","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Tail protection for long investors: Trend convexity at work","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.GN","authors_text":"Cyril Deremble, Jean-Philippe Bouchaud, Marc Potters, Trung-Tu Nguyen, Tung-Lam Dao, Yves Lemp\\'eri\\`ere","submitted_at":"2016-07-08T15:24:13Z","abstract_excerpt":"The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This explains the positive convexity of the aggregate performance of Commodity Trading Advisors (CTAs) which -- when adequately measured -- turns out to be much stronger than anticipated. We also highlight interesting connections with so-called Risk Parity portfolios. Finally, we propose a new portfolio of strangle options that provides a pure exposure to the long-te"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1607.02410","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T01:11:20Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"KBNbpGn6CHBiE4gw3hfdSAmsO0Mx2wuGCZU5ySCARJVKnLRCtloMmSV0DpT62LJsD1gQ/mo9lFFgVTY6E5AoCQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-02T11:06:18.253891Z"},"content_sha256":"9491c413e33e981c5156df8e8eb333b6bf5f3d8cb1cf84626d82c50f1b77de8c","schema_version":"1.0","event_id":"sha256:9491c413e33e981c5156df8e8eb333b6bf5f3d8cb1cf84626d82c50f1b77de8c"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/RVUCEF6HCJOS42L3Z2V5YJF73F/bundle.json","state_url":"https://pith.science/pith/RVUCEF6HCJOS42L3Z2V5YJF73F/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/RVUCEF6HCJOS42L3Z2V5YJF73F/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-02T11:06:18Z","links":{"resolver":"https://pith.science/pith/RVUCEF6HCJOS42L3Z2V5YJF73F","bundle":"https://pith.science/pith/RVUCEF6HCJOS42L3Z2V5YJF73F/bundle.json","state":"https://pith.science/pith/RVUCEF6HCJOS42L3Z2V5YJF73F/state.json","well_known_bundle":"https://pith.science/.well-known/pith/RVUCEF6HCJOS42L3Z2V5YJF73F/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2016:RVUCEF6HCJOS42L3Z2V5YJF73F","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"c72386b35aa208e59d4b7f7d7ab77b5fc15a8293fe0b0dbe25dfe9f3936a2aad","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2016-07-08T15:24:13Z","title_canon_sha256":"bf9b6cc14ae6b1ba8f3539a4a853b3651f930a7b2716b9d66204ed778f2cd63c"},"schema_version":"1.0","source":{"id":"1607.02410","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1607.02410","created_at":"2026-05-18T01:11:20Z"},{"alias_kind":"arxiv_version","alias_value":"1607.02410v1","created_at":"2026-05-18T01:11:20Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1607.02410","created_at":"2026-05-18T01:11:20Z"},{"alias_kind":"pith_short_12","alias_value":"RVUCEF6HCJOS","created_at":"2026-05-18T12:30:41Z"},{"alias_kind":"pith_short_16","alias_value":"RVUCEF6HCJOS42L3","created_at":"2026-05-18T12:30:41Z"},{"alias_kind":"pith_short_8","alias_value":"RVUCEF6H","created_at":"2026-05-18T12:30:41Z"}],"graph_snapshots":[{"event_id":"sha256:9491c413e33e981c5156df8e8eb333b6bf5f3d8cb1cf84626d82c50f1b77de8c","target":"graph","created_at":"2026-05-18T01:11:20Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This explains the positive convexity of the aggregate performance of Commodity Trading Advisors (CTAs) which -- when adequately measured -- turns out to be much stronger than anticipated. We also highlight interesting connections with so-called Risk Parity portfolios. Finally, we propose a new portfolio of strangle options that provides a pure exposure to the long-te","authors_text":"Cyril Deremble, Jean-Philippe Bouchaud, Marc Potters, Trung-Tu Nguyen, Tung-Lam Dao, Yves Lemp\\'eri\\`ere","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2016-07-08T15:24:13Z","title":"Tail protection for long investors: Trend convexity at work"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1607.02410","kind":"arxiv","version":1},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:d43b850c8005212192e9e6cfbe272d9d6f51b7d74824db0ba1f0160977d8c6b7","target":"record","created_at":"2026-05-18T01:11:20Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"c72386b35aa208e59d4b7f7d7ab77b5fc15a8293fe0b0dbe25dfe9f3936a2aad","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2016-07-08T15:24:13Z","title_canon_sha256":"bf9b6cc14ae6b1ba8f3539a4a853b3651f930a7b2716b9d66204ed778f2cd63c"},"schema_version":"1.0","source":{"id":"1607.02410","kind":"arxiv","version":1}},"canonical_sha256":"8d682217c7125d2e697bceabdc24bfd96354dfb1b6f43eac06c4041bdc49909d","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"8d682217c7125d2e697bceabdc24bfd96354dfb1b6f43eac06c4041bdc49909d","first_computed_at":"2026-05-18T01:11:20.456830Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T01:11:20.456830Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"FWQ82Z40Iz5sT2WxDfl10SF/4dnEbiZbFEGpMAOvMiiIcM+YW4UOC16NnMwd/6tSv/QrRAhWK+JYx9MQh52nCw==","signature_status":"signed_v1","signed_at":"2026-05-18T01:11:20.457324Z","signed_message":"canonical_sha256_bytes"},"source_id":"1607.02410","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:d43b850c8005212192e9e6cfbe272d9d6f51b7d74824db0ba1f0160977d8c6b7","sha256:9491c413e33e981c5156df8e8eb333b6bf5f3d8cb1cf84626d82c50f1b77de8c"],"state_sha256":"23d550c2e23ef72173316d62aa40a9c331cfcb8cb2407ba33c00d002c24e62b3"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"tE5/S63+PuVfsCDPvbEB8J80Ak+BiaYhDqz8duMhcyQhqRVOFY0hM0X7Tjs6yZ5zFJaH5NSNzr8IGtoJtiyMBQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-02T11:06:18.255770Z","bundle_sha256":"56ae0c92dc7dc8c6a23e5ee915c129fd75dc1594d5115190a963bdecfc628d30"}}