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Skewness

Skewness characterizes the degree of asymmetry of a distribution of returns 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.

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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