Statistical Characteristics of Asset Returns
Free CFA Level I lesson in Quantitative Methods. 11 min read, ~1,625 words.
Arithmetic mean overstates compound growth; geometric mean is the correct measure of period-over-period return. Skewness 0 = right tail (occasional big gains). Skewness < 0 = left tail (typical for equity returns). Excess kurtosis 0 = leptokurtic = fat tails = more extreme outcomes than a normal distribution predicts. Correlation...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- statistical characteristics of asset returns
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