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OFEP021700 – EPT MRM Excess Kurtosis
The kurtosis is a measure of the peakedness of an instrument's observed returns. In financial mathematics kurtosis is commonly represented by the Greek small letter kappa (κ). The excess kurtosis is represented by EK here.
The formula for kappa is: κ = 1/n * ∑[(r(i)-μ)/σ]⁴
The formula for the excess kurtosis EK is: EK = 1/n * ∑[r(i)-μ]⁴/σ⁴ - 3
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) σ…volatility of all observed returns (OFEP021500 EPT MRM Sigma)
//This field was introduced by the European Working Group with their PRIIPS Data Dictionary Template (EPT). EPT: 02170_Portfolio_Observed_Excess_Kurtosis. More information can be found in the Regulatory Technical Standards (RTS), Annex II, Part 1, (12).//
| Property | Value |
|---|---|
| OF-ID | OFEP021700 |
| Name | EPT MRM Excess Kurtosis |
| Area | European PRIIPs Template (EPT) |
| Level | Share Class |
| Format | Decimal number |
| Tags | EPT |
| Introduced in | openfunds 1.26 |
| FinDatEx EPT field | 02170_Portfolio_Observed_Excess_Kurtosis |
Values
Decimal figure, rounded to maximal 7 digits after the decimal point.
FundsXML 4 mapping
FundsXML EPT block:
RegulatoryReportings/…/EPTV2/PerformanceScenario/ObservedExcessKurtosis
The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.
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