Risk-Premium#49tier 1live in production
realized skew xs
cadence: Dailydata: lowlong onlyshort onlylong short
Mechanism
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
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
See referenced paper for original effect size; modern out-of-sample replication may be weaker.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Explore realized skew xs on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.