Skewness

third momentum of returns:

$t = x - mean(x)$ $m = mean(t ^ 3)$ $s = mean(t ^ 2)$ $skewness = \frac{m}{s^{\frac{3}{2}}}$

positive skewness indicates a right tail and the mass of the data on the left ( $< \mu$ );

negative skewness indicates a left tail and the mass of the data on the right ( $> \mu$ ).