Price & Market BehaviorExtended setexperimental liveNew

Coskewness Premium

Updated dailyData needs: mediumlong onlyshort only

2000

Harvey, C. R., Siddique, A. (2000). "Conditional Skewness in Asset Pricing Tests." Journal of Finance 55(3), 1263-1295.

In plain terms

Stocks that crash hardest when the market crashes (negative coskewness) are compensated with a higher risk premium. Conversely, stocks that act like insurance during market crashes underperform on average. Rank stocks by their 1-year coskewness with SPY.

How it works

Stocks with negative coskewness with the market (left-tail co-movement) earn a positive risk premium: investors require additional return for assets that perform poorly when the market crashes. Signal is the rolling cross-product of ticker return with squared market return.

Live results

1 times picked on its own · 99 times inside a blend (64 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 99 such blended picks (64 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: +/-3-5% annualized
Tested over: T+1 to T+126d

Harvey-Siddique 2000; ~3-5% annualized risk premium on the bottom decile.

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