skewness & kurtosis

hi gays,

my question about skew & kurtosis in investment manner.

Since the skewness is a measure of symmetry; My understand is when investment has positive skew that mean the probability that investment will has higher likely to end with positive returns ? am i right ?

Ok what about the kurtosis ?

kurtosis is a measure of whether the data are heavy-tailed or light-tailed relative to a normal distribution, but what it is story that kurtosis try to tell?


Skewness has to do with the symmetry of a distribution. A positive skew would mean that an investor would get many small gains but can also potentially have very large gains which pulls the average return higher. A skew of more than 0.5 or less than -0.5 is considered significant.

Kurtosis has to do when the height. The normal distribution has a kurtosis of 3. A leptokurtic distribution will have heavy tails meaning that there is a higher probability that unexpected events occur (i.e extreme events). A leptokurtic distribution will have positive excess kurtosis meaning that its kurtosis will be higher than 3. A Platykurtic distribution is one with thinner tails and has a negative excess kurtosis. In this case, extreme events are less likely to occur.