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OFEP021600 – EPT MRM Skewness
The skewness is a measure of the asymmetry of an instrument's observed returns. In financial mathematics skewness is represented by the Greek small letter gamma (γ).
The formula for gamma is: γ = ∑[r(i)-μ]³ / n
with n… number of observations (OFEP021300 EPT Number Of Observed Returns) r(i)… return in period i μ… mean return of all observations (OFEP021400 EPT MRM Mean Return)
//This field was introduced by the European Working Group with their PRIIPS Data Dictionary Template (EPT). EPT: 02160_Portfolio_Observed_Skewness.//
| Property | Value |
|---|---|
| OF-ID | OFEP021600 |
| Name | EPT MRM Skewness |
| Area | European PRIIPs Template (EPT) |
| Level | Share Class |
| Format | Decimal number |
| Tags | EPT |
| Introduced in | openfunds 1.26 |
| FinDatEx EPT field | 02160_Portfolio_Observed_Skewness |
Values
Decimal figure, rounded to maximal 7 digits after the decimal point.
FundsXML 4 mapping
FundsXML EPT block:
RegulatoryReportings/…/EPTV2/PerformanceScenario/ObservedSkewness
The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.
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