Thanks for raising this possibility. Varying expiration dates of certain financial instruments could certainly explain a wider variance in the daily market deltas than I included in my simple simulation.
I’m not ready to accept “it does not work if any derivatives with expiration dates are involved” because after all, if a small percentage of the fund’s holding are in expiring derivatives they wouldn’t move the needle very much.
But let’s assume for a moment that fund is exclusively built from these kinds of expiring instruments. And since we observe steady convergence in every round even though rounds X and X+1 overlap for 15 days, I believe this also would imply that each tournament round must have its own independent holdings that expire during said round.
Yours is certainly a viable theory when combined with assumptions like this about the nature of the fund’s holdings. Perhaps those assumptions are why the Numerai team isn’t chiming in to answer this question about the daily scores, but I’ll still continue the plea. Courtesy of the The humans of Numerai thread, I’m calling out some Numerai staff explicitly here, wondering if @slyfox, @master_key, @mdo, or @son_sioux could offer more insight and/or help us rectify some of the contradictory theories that have appeared in this thread.
What remains clear is that the early daily scores are not very predictive of the final score. Just look at @jrai’s original plot. So why are they presented to us at all? What kind of value are we supposed to get from them if they have no bearing on the final score as some have claimed, and (as of yet) no unambiguous meaning? I would hope the staff could offer a “safe” answer to that question that does not expose information about the fund’s internal operation. I mean, if you’re going to put a speedometer on the car, please let us drivers know how to read it. Or maybe just add some error bars based on the tournament day so that we know how much faith to put into those scores.
Thanks, all, for your continued input!