There is strong evidence of a negative cross-sectional relationship between realized skewness and future stock returns - stocks with negative skewness are compensated with high future returns for ...

Skewness refers to the degree of asymmetry of a distribution, typically of investment returns. A distribution can be positively skewed (long tail to the right) or negatively skewed (long tail to the ...

A new white paper from Campbell & Co. discusses the negative skew that is often a characteristic of portfolio returns, and the ways in which trend following can achieve positive skew instead. The ...