Skewness
Calculates the skewness (third moment) of portfolio returns, measuring the asymmetry of the return distribution.
Parameters
| Parameter | Type | Required | Description |
|---|---|---|---|
| Portfolio | string | Yes | Comma-separated list of ticker symbols |
| Period | string | Yes | Time period (1Y, 3Y, 5Y, etc.) |
Interpretation
- Skewness = 0: Symmetric distribution
- Skewness < 0: Left-skewed (negative), longer left tail
- Skewness > 0: Right-skewed (positive), longer right tail
Notes
- Negative skewness indicates higher probability of extreme negative returns
- Important for risk management beyond standard deviation
Syntax
=mxls.Skewness(Portfolio, Period)Examples
When to Use
- Risk analysis beyond standard deviation
- Understanding return distribution shape
- Evaluating tail risk
- Portfolio optimization considerations
- Risk-adjusted performance analysis
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Need kurtosis (fat tails) | Kurtosis() |
| Need average returns | MeanReturns() |
| Need drawdown analysis | Drawdowns() |
| Need efficient frontier | PortfolioEfficientFrontierChartReport() |
Common Issues & FAQ
What does negative skewness mean?
Negative skewness indicates a longer left tail, meaning higher probability of extreme negative returns.
What is a normal skewness value?
Normal distribution has skewness of 0. Equity returns typically show slight negative skewness.
How does this help with risk management?
Skewness helps identify asymmetric risks that standard deviation alone doesn't capture.
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