Term Glossary

Metrics, Models & Concepts


Return skewness characterizes the asymmetry of a return distribution around its mean: \begin{equation} \gamma=\frac{E(r-E(r))^{3}}{\sigma^{3}} \end{equation}

asset return
standard deviation of asset returns (square root of variance)

Positive skewness indicates an asymmetric tail extending toward positive values (right skewed). Negative skewness implies asymmetry toward negative values (left skewed). Computed values of skewness away from 0 point towards non-normality.

Function Reference
portfolio_skewness, position_skewness