| Description |
The kurtosis is a measure of the peakedness of an instrument's observed returns. In financial mathematics kurtosis is commonly represented by the Greek small letter kappa (?). The excess kurtosis is represented by EK here.
The formula for kappa is: ? = 1/n * ?[(r(i)-µ)/s]4
The formula for the excess kurtosis EK is: EK = 1/n * ?[r(i)-µ]4/s4 - 3
with
n… number of observations (OFEP021300 EPT Number Of Observed Returns)
r(i)… return in period i
µ… mean return of all observations (OFEP021400 EPT MRM Mean Return)
s… volatility of all observed returns (OFEP021500 EPT MRM Sigma)
//This field was introduced by the European Working Group with their PRIIPS Data Dictionary Template (EPT).
EPT: 02170_Portfolio_Observed_Excess_Kurtosis.
More information can be found in the Regulatory Technical Standards (RTS), Annex II, Part 1, (12).// |