Return Distribution Analysis

Volatility compresses an entire distribution into one number, and almost everything that decides how a position feels to hold lives in the part it throws away. This puts the shape back on screen: quartiles, skewness, kurtosis, and how far the tails run compared with what a normal curve would allow.

• Quartiles, skewness and kurtosis computed on realized returns
• Tail behavior compared against the normal assumption, so the excess is measurable
• The distribution split by period, so a change of regime shows up as a change of shape