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Kurtosis

Kurtosis characterizes the relative peakedness or flatness of a distribution compared with the normal distribution. Positive kurtosis indicates relatively peaked distribution. Negative kurtosis indicates relatively flat distribution.

where ri is the return of the i-th month, r is the average monthly return, n denotes the number of months and s is the standard deviation of the monthly returns.

 

 

 

 

 

 

 

 

 

 

 

 


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