Tail Ratio
Computes the tail ratio of a return series: the absolute value of the 95th percentile divided by that of the 5th percentile. It compares the size of extreme gains with extreme losses — a tail ratio above one means the right tail (gains) is larger than the left (losses), a desirable asymmetric profile. Below one, extreme losses dominate. It's a quick snapshot of the asymmetry at the ends of the distribution. Enter the list of returns separated by commas.
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Tail Ratio
Computes the tail ratio of a return series: the absolute value of the 95th percentile divided by that of the 5th percentile. It compares the size of extreme gains with extreme losses — a tail ratio above one means the right tail (gains) is larger than the left (losses), a desirable asymmetric profile. Below one, extreme losses dominate. It's a quick snapshot of the asymmetry at the ends of the distribution. Enter the list of returns separated by commas.
Extreme gains versus extreme losses
The mean and standard deviation of a return series hide what happens at the ends, and it's at the ends that the life-changing surprises live. The tail ratio looks exactly there: it compares the size of extreme gains with extreme losses, taking the 95th percentile and the 5th percentile of the distribution.
The reading is direct. A tail ratio above one means the best moments are larger than the worst, an asymmetric profile every investor would like to have. Below one, extreme losses exceed extreme gains, the signal of a strategy that looks calm on average but hides disproportionate falls in the left tail.
Enter the list of returns separated by commas. The tool sorts the data, computes the 95th and 5th percentiles by linear interpolation and returns the ratio of their absolute values. It's a simple statistical measure, so the more returns you provide, the more representative the tail estimate.
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The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.