August 1st, 2018, 1:36 am
bearish: ehnt
It depends what you call a convexity adjustment.
If you define it as the adjustment that needs to be made to the expected value when valueing the index of interest under a measure other than the index's natural measure, then the convexity adjustment can be of either sign. This is a meaningful definition for a convexity adjustment. It is decidedly not necessarily positive in general!
For LIA, yes it is.