Calculate Portfolio Kurtosis for Deeper Analysis

Kurtosis is a valuable statistical measure that reveals the “tailedness” or extreme values in a distribution. When applied to a portfolio’s return data, it highlights the presence of possible outliers—helping you make more informed decisions about risk and strategy. MarketXLS integrates seamlessly with Excel to let you retrieve and analyze kurtosis on any supported portfolio, instantly.

Why Use This Function?

• Gives insight into the likelihood of extreme price movements in your portfolio.
• Provides a statistical measure of risk complementing beta and volatility.
• Helps in building robust portfolios by identifying potentially skewed returns.
• Ideal for comparing different portfolios on their return distributions.
• Guides advanced risk management decisions in real-world trading scenarios.

How to Use in Excel

=Kurtosis(portfolio, period)

1. Enter the function into any cell in Excel.
2. Replace "portfolio" with a valid MarketXLS portfolio reference or a custom dictionary of tickers if your setup allows.
3. Include "period" to specify the time frequency or range for calculating kurtosis. If omitted or invalid, the function defaults to 12.

Press Enter, and MarketXLS will return the kurtosis value in seconds.

Parameters Explained

Example Usage

Basic Examples

1. Single Portfolio with Default Period
   • Formula: =Kurtosis("TechPortfolio")
   • Explanation: Returns the kurtosis of "TechPortfolio" using the default period (12).

2. Portfolio with a Custom Period
   • Formula: =Kurtosis("BondPortfolio", 24)
   • Explanation: Analyzes "BondPortfolio" for a period of 24 (for instance, 24 months or weeks, depending on your setup).

Advanced Scenarios

1. Combining Multiple Portfolios
   • If you have an aggregate portfolio object that unifies multiple holdings, simply pass its reference. For example, =Kurtosis("AggregatePortfolio", 12).
   • This is useful when evaluating the tail risk of several diverse holdings in one go.

2. Integrating with Other Excel Functions
   • Nest the Kurtosis function within other functions or link it to data tables for dynamic updates. For instance, =IF(Kurtosis("ActiveTrades", 6)>3, "High Risk", "Normal").
   • Helps automate your risk classification workflows and highlight anomalies.

3. Trading Strategy Examples
   • Use Kurtosis outputs to design custom triggers for rebalancing or hedging if tail risk surpasses a certain threshold.
   • Pair it with MarketXLS’s volatility functions to compare shapes of return distributions.

Common Questions and Troubleshooting

1. What if I get "NA"?
   • The function may have encountered an unexpected error or invalid data. Verify that your “portfolio” parameter is correct and that you have a valid license.

2. How do I handle an invalid portfolio?
   • If you receive a “PortfolioIsNotValidException” message, confirm the portfolio reference or dictionary is properly set up in MarketXLS.

3. Does the period have to be a particular unit like months or weeks?
   • The backend interprets the period based on how your MarketXLS installation and underlying data source are configured. Generally, 12 might represent months by default, but this may vary.

4. Why do I get a license message?
   • The function checks for a valid MarketXLS license. If not active or expired, you’ll see an error message or “NA.”

Remember:

• The Kurtosis function offers deeper risk insights beyond simple averages or volatility.
• Diversify your analysis with multiple timeframes.
• Experiment with advanced scenarios—like combining kurtosis with other indicators—to gain robust market insights.
• Always verify your portfolio references and keep your MarketXLS license current for uninterrupted functionality.