what is the desirable skewness/kurtosis for a portfolio?

CFA Level III
#1

3 levels and I still can’t remember this

#2

positive skewness and low kurtosis.

#3

thank you

#4

High kurtosis with positive skewness. Only low risk tolerance investor will prefer low kurtosis.

#5

Wouldn’t low kurtosis exhibit fat tails though?

I think a normal distribution would be most sought after

#6

Investors should prefer:

pos. skew + high kurtosis

OR

neg. skew + low kurtosis.

#7

Why negative skew? Doesn’t that mean there are more occurances of larger losses in the portfolio?

#8

guess i wasnt the only one

#9

High kurtosis -> fat tails.

#10

neg. skew: few large losses + frequent small gains

low kurtosis: more round peak + shorter, thinner tails

If the distribution of returns is characterized by a few large losses AND thinner tails, then these large losses are “relatively smaller” and investors should prefer it.

#11

hedge funds want positive and positive

i am positive good luck

#12

higher chance for abnormall hihg return

#13

high kurtosis, positive skewness.

positive skewness will give higher probaiblity of higher returns, and high kurtosis will make that right tail nice and fat