3. Statistical Measures of Asset Returns Flashcards
Absolute dispersion
The overall spread of a dataset and includes several measures, such as range, mean absolute deviation, variance, and standard deviation.
Arithmetic mean
The sum of the observations divided by the number of observations.
Coefficient of variation
The ratio of a set of observations’ standard deviation to the observations’ mean value.
Correlation
A measure of the linear relationship between two random variables.
Dispersion
The variability of a population or sample of observations around the central tendency.
Excess kurtosis
Degree of kurtosis (fatness of tails) relative to the kurtosis of the normal distribution.
Leptokurtic
Describes a distribution that has fatter tails than a normal distribution.
Interquartile range
The difference between the third and first quartiles of a dataset.
Kurtosis
The statistical measure that indicates the combined weight of the tails of a distribution relative to the rest of the distribution.
Mean absolute deviation
With reference to a sample, the mean of the absolute values of deviations from the sample mean.
Measure of central tendency
A quantitative measure that specifies where data are centered.
Measures of location
Quantitative measures that describe the location or distribution of data including measures of central tendency and other measures, such as percentiles.
Mesokurtic
Describes a distribution with kurtosis equal to that of the normal distribution, namely, kurtosis equal to three.
Platykurtic
Describes a distribution that has relatively less weight in the tails than the normal distribution (also called thin-tailed).
Relative dispersion
The amount of dispersion relative to a reference value or benchmark.
Sample correlation coefficient
A standardized measure of how two variables in a sample move together. It is the ratio of the sample covariance to the product of the two variables’ standard deviations.
Sample covariance
A measure of how two variables in a sample move together.
Skewness
A quantitative measure of skew (lack of symmetry). It is computed as the average cubed deviation from the mean standardized by dividing by the standard deviation cubed.
Standard deviation
The positive square root of the variance; a measure of dispersion in the same units as the original data.
Target semideviation
A measure of downside risk, calculated as the square root of the average of the squared deviations of observations below the target (also called target downside deviation).
Platykurtic
Describes a distribution that has relatively less weight in the tails than the normal distribution (also called thin-tailed).
Variance
The expected value (the probability-weighted average) of squared deviations from a random variable’s expected value.
