Michael Bommarito

Moment and Omega Rankings of Index ETFs

Hello Susan, the double accounting is for two reasons - firstly, to confirm the ranking of the first four moments, and secondly, as you mention, to include the higher order moments.

Also, if you'd like an example of a distribution with negative mean and positive skewness, take December 31, 2001 to March 15th, 2003, and you should get just such a distribution. For reference, I calculate a log-return mean of -0.0011 and skewness of 0.4057. Make sure you're not using excess moments either.