Came across a Cook Pine Capital report off my daily reading, and noticed some interesting S&P500 daily return statistics. This not only supports the notion that equity index return distributions are heavily fat tailed, but also that Central Limit Theorem does not always apply in real life.
Description Statistics for S&P Daily Return Data (1927 ~ 2008)
Sample Size: 20,319
Mean: 0.026%
Standard Deviation: 1.182%
Kurtosis: 18.347(!)
Skewness: -0.098
Actual vs. Normal Distributions
Description Statistics for S&P Daily Return Data (1927 ~ 2008)
Sample Size: 20,319
Mean: 0.026%
Standard Deviation: 1.182%
Kurtosis: 18.347(!)
Skewness: -0.098
Actual vs. Normal Distributions
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