Skewness and Kurtosis by Marc Odo, CFA, CAIA, CFP

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Wed, 2011-08-17

Recent market events like the dot-com bust the credit crunch have increased the awareness of “tail events”, i.e. rare, but extreme and traumatic market environments. Skewness and kurtosis are the traditional ways one would measure the impact of extreme market conditions upon a distribution of returns. Although well-established in statistical theory, skewness and kurtosis are often ignored or misunderstood in performance analysis. This paper seeks to give the reader useful definitions and a working knowledge of skewness and kurtosis.


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