标题: Skewness and kurtosis [打印本页] 作者: Wendy01 时间: 2011-7-13 14:54 标题: Skewness and kurtosis
Can you please summarise alternative investments by their skewness and kurtosis. Thanks作者: Chuckrox 时间: 2011-7-13 14:55
dont really need to know this but my general thought is that all alt. inv and emerging market securities exhbit negative skewness and leptokurtoisis (i.e. fat tails)作者: Darien 时间: 2011-7-13 14:55
i thought excess positive kurtosis for HFs.作者: Valores 时间: 2011-7-13 14:55
june2009 Wrote:
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> i thought excess positive kurtosis for HFs.
By "excess positive kurtosis" do you mean positive skewness or fat tails? I'm guessing that you meant positive skewness. I would think that hedge funds exhibit fat tails but not positive skewness. Their mean may be higher than other alternative investments, but a higher mean doesn't imply positive skewness.作者: Colum 时间: 2011-7-13 14:55
Positive kurtosis (fat tails) and negative skewness are considered bad.
HF's generally have both positive kurtosis and negative skewness.
Distressed investing is generally even greater positive kurtosis and negative skewness.
Managed futures, however, tend to be opposite...the curriculum explains it's because of momentum trading.作者: Chuckrox 时间: 2011-7-13 14:55
They don't seem to be able to make up their minds on this.
See the answer to CFAI R36 Q26 on page 125 in Vol 5 which claims that all alternatives investments have positive skewness and low kurtosis (i.e. negative excess kurtosis)作者: bkballa 时间: 2011-7-13 14:55
^^ agreed. got that wrong and dont understand it at all.作者: bkballa 时间: 2011-7-13 14:55
unless they are looking at the qualifier of " that reduce downside risk"
i hate questions like this.............even with the books before us one can make a convincing case for either
