IdioSkew
Idiosyncratic Skewness — Lin and Liu 2019
Risk
Quick facts
| Factor ID | IdioSkew |
| Display name | Idiosyncratic Skewness |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Lin and Liu 2019 |
| Source tables | daily;index_daily |
| Required fields | ret;mkt_ret |
| PIT required | no |
| Coverage | 2010-07-15 – 2026-05-15 · 651,195 rows · 95.1% of panel |
Formula
skew(ret - mkt_ret over t-126..t-1)
Sample skewness of market-adjusted daily returns over the prior six months as a lottery-demand proxy.
China adaptation
Market-adjusted skewness used in place of FF3 residual skewness because SMB and HML legs are not yet wired into the pipeline.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 190 |
| Monthly mean | 0.6032% |
| Monthly std | 2.9711% |
| Annualized Sharpe | 0.70 |
| t-stat (simple) | 2.80 |
| Hit rate (months > 0) | 61.1% |
| Last 12M compounded | 1.12% |
| Cumulative wealth (start = 1) | 2.886 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +2.22% | 2.917 | 5084 |
| 2025-06 | +2.31% | 2.984 | 5097 |
| 2025-07 | +1.19% | 3.020 | 5103 |
| 2025-08 | +1.19% | 3.056 | 5106 |
| 2025-09 | +1.36% | 3.097 | 5119 |
| 2025-10 | +2.21% | 3.166 | 5127 |
| 2025-11 | -2.40% | 3.090 | 5130 |
| 2025-12 | -2.98% | 2.998 | 5137 |
| 2026-01 | -0.29% | 2.989 | 5140 |
| 2026-02 | +3.56% | 3.095 | 5143 |
| 2026-03 | -3.07% | 3.000 | 5145 |
| 2026-04 | -3.82% | 2.886 | 5135 |
Known data issues
Daily price limits and limit-hit returns can compress the upper tail of idiosyncratic skewness.
Notes
A FF3 residual variant will replace this proxy once the Chinese factor legs are validated.
See also: Risk family, Factor library, Factor returns.