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Moment Distribution Map - Skewness and Kurtosis

One of the pleasures of retirement is having time to pursue statistical questions simply because they are interesting.

I recently wondered: are the higher moments of financial return distributions related? To explore this, I recreated the classic Moment-Ratio Diagrams for Univariate Distributions (Vargo, Pasupathy & Leemis, 2010) and applied them to actual market data.

The resulting visualization is quite revealing: equity returns exhibit dramatically higher kurtosis risk than Treasury returns.

This obvious result begs the question: at current P/E ratios are investor adequately compensated for a dramatic downturn of events?

I am not confident.

Explore the interactive distribution map here:

Run the complete analysis in RainbowStats

RainbowStats combines econometric modeling with interactive visualization to help identify these changing relationships, allowing users to move beyond static models and explore how the economy behaves across different regimes.