Skewness and kurtosis please

Wendy01

Can you please summarise alternative investments by their skewness and kurtosis. Thanks

bkballa

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

bkballa

^^ agreed. got that wrong and dont understand it at all.

Chuckrox

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)

ll11

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.

Colum

Page 79, CFA

HF can lead to negative skew, positive kurtosis.

Page 104

Distressed = negative skew, positive kurtosis

Valores

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.

Darien

i thought excess positive kurtosis for HFs.

Chuckrox

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)