Economy & PolicyCore researchCatalog live
Return-Skew Premium
Updated dailyData needs: lowlong onlyshort onlylong short
paper
2015
Source
Amaya, Christoffersen, Jacobs & Vasquez (2015), Does Realized Skewness Predict the Cross-Section of Equity Returns?
Read the paper →
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
Inspired by the paper's negative relation between weekly intraday realized skewness and next-week cross-sectional returns. Alphactor instead uses rolling skewness of daily returns and each stock's own expanding-history percentile, then holds for 21 or 63 days; this is a separately testable adaptation, not the published portfolio.
Live results
0 times picked on its own · 1333 times inside a blend (1222 beat the stock) · updated 2026-07-06This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 1333 such blended picks (1222 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)
Loading substrate evidence…
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Tested over
- Weekly intraday cross-section (paper); daily own-history adaptation in Alphactor
See the source research for the original effect size; a modern replication on new data may be weaker.
Explore Return-Skew Premium on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.