MarketXLS

Kurtosis

Calculates the kurtosis (fourth moment) of portfolio returns, measuring the "tailedness" of the 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

  • Kurtosis = 3: Normal distribution (mesokurtic)
  • Kurtosis > 3: Fat tails, more extreme events (leptokurtic)
  • Kurtosis < 3: Thin tails, fewer extreme events (platykurtic)

Syntax

=mxls.Kurtosis(Portfolio, Period)
Excel Online (Mac & Windows)

Parameters

portfoliostringRequired

Portfolio symbols as comma-separated list

periodstringRequired

Time period (e.g., 1Y, 3Y)

Returns

number

Kurtosis value for portfolio returns

Examples

=mxls.Kurtosis("AAPL,MSFT,GOOGL", "1Y")
1-year kurtosis
=mxls.Kurtosis("SPY,QQQ,IWM", "3Y")
3-year kurtosis
=mxls.Kurtosis(A1:A10, "5Y")
Portfolio from range

When to Use

  • Tail risk analysis
  • Extreme event probability
  • Risk management beyond VaR
  • Distribution shape analysis

When NOT to Use

Scenario Use Instead
Skewness analysis Skewness()
Average returns MeanReturns()
Drawdown analysis Drawdowns()

Common Issues & FAQ

What does high kurtosis mean?

Higher probability of extreme returns (both positive and negative) compared to normal distribution.

Related Formulas

More MarketXLS MarketXLS Analytics formulas you can use in the same worksheet:

Get Access to 1 Billion Usable Market data points IN YOUR EXCEL SHEETS WITH EASY TO USE EXCEL FUNCTIONS

Get started today
MarketXLS Excel Add-in Tutorial - How to Use Kurtosis and Other Financial Formulas
▶
How does MarketXLS work?

Related Functions