Skew & KurtosisRisk Management
Skew and Kurtosis have been highly overlooked statistics by private/retail investors. Ignoring skew and kurtosis ignores the nature of your return’s distributions. The skew of a distribution measures asymmetry of distributions around a mean. If it’s a positive distribution, a non-symmetric tail extends into positive values. If negative, the tail extends into the negative values. Prefer investments with a solidly positive mean, and thin tail going into the positive with little or no negative tail.
Kurtosis shows the nature of the distribution’s peak. A higher peak has a higher kurtosis, and a flatter peak has a lower or negative kurtosis. Normal distributions have a kurtosis of 3 which is known as a mesokurtic kurtosis. Above 3 a kurtosis is known as leptokurtic, which features a higher, sharply peaked distribution. Below 3 is a flatter distribution called platykurtic, becoming increasingly flat as kurtosis approaches zero or below. I prefer a peaked kurtosis with a deep positive mean, especially on a recent time frame, with a positive skew. I want the vast majority of returns to be in positive with a positive mean.
Lastly, you should never try to eyeball skewness and kurtosis. Always rely on data output to tell you standard deviation, skew, and kurtosis.
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International Economic Analysis:
- Major Currency Economic Summaries
- Performance of Major Imports and Exports
- Mandates of Central Banks versus Expectations
- Performance Indexes of Major Economies
- Economically Correlated Currency Projections
- Large Funds Currency Sentiment Readings
- List of Technical Indicators to Look For
- Occasional: Foregin Exchange Technicals Markups
American Markets Analysis:
- Summaries of American Economic Structure
- Performance of Major
- Federal Reserve Mandate versus Expectations
- Performance Indexes of U.S Economy
- Economically Correlated U.S Dollar Projections
- Large Trading Fund Index Sentiment Readings
- Market Wide Earnings Versus Valuations
- Fundamental Ranking of U.S Business Sectors
- Best and Worst Future Consensus Estimates
- Occasional: Firm Fundamental Strength Report
- List of Technicals to Look for While Trading
Investment and Finance, Serviced by Amazon
A Concise Guide to Macroeconomics, Second Edition: What Managers, Executives, and Students Need to Know
A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market
Algorithmic Trading: Winning Strategies and Their Rationale
Alternative Investments: CAIA Level I (Wiley Finance)
Alternative Investments: Instruments, Performance, Benchmarks, and Strategies