Tails
How often extreme days happen compared with a bell curve.
In the demo portfolio
3.95
How it is computed here
The fourth standardised moment. A normal distribution scores 3; real returns usually score more.
Worked example
- The average of each day's distance from the mean to the fourth power, divided by the volatility to the fourth.
- A normal distribution gives 3; 3.95 means extreme days come a little more often than a bell curve says.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
Above 3 means any risk figure built on the normal distribution understates precisely the days it was meant to warn you about. It is why the loss figures on this site come from what happened rather than from a formula.