Skewness

Skewness characterizes the degree of asymmetry of a distribution around its mean. Positive skewness indicates a distribution with an asymmetric tail extending toward more positive values. Negative skewness indicates a distribution with an asymmetric tail extending toward more negative values.

Skewness (r1, ..., rn) =

where r1, ..., rn is a return series, i.e., a sequence of returns for n time periods.

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