skfolio.measures.kurtosis

skfolio.measures.kurtosis(returns, sample_weight=None)

Compute the Kurtosis.

The Kurtosis is a measure of the heaviness of the tail of the distribution. Higher Kurtosis corresponds to greater extremity of deviations (fat tails).

Parameters:

returnsndarray of shape (n_observations,) or (n_observations, n_assets)

Array of return values.

sample_weightndarray of shape (n_observations,), optional

Sample weights for each observation. If None, equal weights are assumed.

Returns:

valuefloat or ndarray of shape (n_assets,)

Kurtosis. If returns is a 1D-array, the result is a float. If returns is a 2D-array, the result is a ndarray of shape (n_assets,).

Notes

NaN handling: - Unweighted: NaNs are ignored; all-NaN inputs yield NaN. - Weighted: NaNs propagate.