TAILRATIO
Determine the relative magnitude of losses to gains within an empirical distribution.
Description
Calculate the empirical distribution's tail ratio. The tail ratio is defined as the ratio between the 95th and 5th percentile of returns. This statistic is useful to assess the relative magnitude of losses to gains. For example, a tail ratio of 0.25 would mean that losses are four times as bad as gains.
Syntax
The following describes the function signature for use in Microsoft Excel's formula bar.
Input(s)
Argument
Description
x
Required. Time series or matrix of returns.
Output(s)
Vector of tail ratio estimate(s).
Example
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