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)

Examples

=Kurtosis("AAPL,MSFT,GOOGL", "1Y")
1-year kurtosis
=Kurtosis("SPY,QQQ,IWM", "3Y")
3-year kurtosis
=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

Q: What does high kurtosis mean? A: Higher probability of extreme returns (both positive and negative) compared to normal distribution.

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