ReturnSkew
Return Skewness — Bali Engle and Murray 2015
Risk
Quick facts
| Factor ID | ReturnSkew |
| Display name | Return Skewness |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Bali Engle and Murray 2015 |
| Source tables | daily |
| Required fields | ret |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 679,322 rows · 99.2% of panel |
Formula
skew(ret over t-21..t-1)
Sample skewness of daily returns over the prior trading month using raw-moment identities.
China adaptation
Computed on raw not market-adjusted returns to match the original Bali-Engle-Murray construction.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | 0.5423% |
| Monthly std | 2.1809% |
| Annualized Sharpe | 0.86 |
| t-stat (simple) | 3.47 |
| Hit rate (months > 0) | 62.6% |
| Last 12M compounded | -13.36% |
| Cumulative wealth (start = 1) | 2.742 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.55% | 3.116 | 5129 |
| 2025-06 | -1.25% | 3.077 | 5140 |
| 2025-07 | -1.56% | 3.029 | 5143 |
| 2025-08 | -1.75% | 2.976 | 5147 |
| 2025-09 | +1.27% | 3.013 | 5150 |
| 2025-10 | -1.17% | 2.978 | 5152 |
| 2025-11 | -3.09% | 2.886 | 5162 |
| 2025-12 | +0.52% | 2.901 | 5167 |
| 2026-01 | +0.17% | 2.906 | 5178 |
| 2026-02 | +0.55% | 2.922 | 5180 |
| 2026-03 | -3.36% | 2.824 | 5187 |
| 2026-04 | -2.89% | 2.742 | 5174 |
Known data issues
Daily price limits clip the upper tail of returns and may compress skewness for limit-hitting names.
Notes
Closely related to lottery-demand factors and overlaps mechanically with MaxRet.
See also: Risk family, Factor library, Factor returns.