Economy & PolicyCore researchlive in production

Return-Skew Premium

Updated dailyData needs: lowlong onlyshort onlylong short

In plain terms

Stocks with fat downside tails (negative realized skew) trade at a discount and earn a premium; right-skew 'lottery' stocks underperform.

How it works

Stocks with negative realized skewness (left-tail risk, fat downside) trade at a discount and offer a return premium going forward. Conversely positive-skew "lottery" stocks (right-tail upside) are overpriced and underperform (Amaya-Christoffersen-Jacobs-Vasquez 2015 JFE). Realized_skew is rolling 63d skew of daily returns; long when own-history percentile ≤ 0.20 (most negative), short when ≥ 0.80 (lottery).

Live results

12 times picked on its own · 82 times inside a blend (49 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 82 such blended picks (49 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

See the source research for the original effect size; a modern replication on new data may be weaker.

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