Good survey of the reality of the data. The market is not Normal. Student's t is a good try, but it's analytically problematic for asset allocation strategy (utility calculations are sensitive to the moments of the distribution and Student's t will *always* have divergent moments at some level in the real world). I like the Generalized Error distribution (a/k/a Generalized Normal or Exponential Power distribution), which doesn't suffer from this problem. Also, clear evidence for Heteroskedasticity which will act to decrease kurtosis when properly accounted for.