A definition and explanation of Kurtosis
Todays thrilling blog post is on Kurtosis! While maybe not as dramatic to read about as Clinton bashing hedge funds you can often find Kurtosis statistics within hedge fund analytics reports. It is important to get rough feel for what it means because it can help evaluate the distribution of variance in returns or whatever set of data you are analyzing.
Kurtosis Definition: In probability theory and statistics, kurtosis (from the Greek word kurtos, meaning bulging) is a measure of the "peakedness" of the probability distribution of a real-valued random variable. Higher kurtosis means more of the variance is due to infrequent extreme deviations, as opposed to frequent modestly-sized deviations.
Definition paragraph courtesy of Wikipedia
If you would like to see this used within a hedge fund white paper, here is a report on "The Problems With Extreme Hedge Fund Returns" which references kurtosis within the discussion.
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