# Skewness Anomaly (US S&P 500)

- **Slug**: `skewness-anomaly-us-sp500`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, lottery, skewness
- **Source**: qbuntu-analysis (computed asof 2026-08-01T07:31:34)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/skewness-anomaly-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/skewness-anomaly-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Boyer, Mitton, Vorkink (2010): stocks with high expected skewness earn lower returns. Applied to S&P 500 constituents.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.69, best=0.53. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | -0.6861 |
| Max drawdown | -19.8% |
| p-value | 0.12 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.69, best 0.53 (best-case — not representative), worst -3.3, p25 -1.22, p75 -0.19.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-skewness-anomaly-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.94 | -2.64 | -1.87 | -0.83 |
| `r-skewness-anomaly-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -1.57 | -1.93 | -1.87 | -0.83 |
| `r-skewness-anomaly-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -2.34 | -3.12 | -2.24 | -1.15 |
| `r-skewness-anomaly-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.9 | -2.25 | -2.24 | -1.15 |
| `r-skewness-anomaly-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.42 | -1.8 | -1.33 | -0.31 |
| `r-skewness-anomaly-us-sp500-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.55 | -1.71 | -1.88 | -0.24 |
| `r-skewness-anomaly-us-sp500-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.92 | -1.79 | -0.71 | 1.09 |
| `r-skewness-anomaly-us-sp500-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -0.74 | -1.1 | -1.11 | 1.12 |
| `r-skewness-anomaly-us-sp500-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -0.34 | -0.57 | -0.84 | 1.45 |
| `r-skewness-anomaly-us-sp500-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.01 | -0.6 | -0.07 | 2.34 |
| `r-skewness-anomaly-us-sp500-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | 0.15 | 0.8 | -0.84 | 0.69 |
| `r-skewness-anomaly-us-sp500-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | -1.62 | -1.27 | -1.58 | -2.65 |
| `r-skewness-anomaly-us-sp500-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -3.3 | -4.12 | -2.22 | -3.46 |
| `r-skewness-anomaly-us-sp500-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | -1.65 | -1.89 | -1.8 | -0.64 |
| `r-skewness-anomaly-us-sp500-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.95 | -1.14 | -1.2 | 0.16 |
| `r-skewness-anomaly-us-sp500-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.61 | -0.96 | -1.65 | 1.74 |
| `r-skewness-anomaly-us-sp500-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | 0.01 | -0.37 | -0.57 | 2.66 |
| `r-skewness-anomaly-us-sp500-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.46 | -1.66 | -1.48 | -0.93 |
| `r-skewness-anomaly-us-sp500-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2.61 | -3.51 | -1.37 | -3.08 |
| `r-skewness-anomaly-us-sp500-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -0.96 | -1.4 | -1.09 | 0.38 |
| `r-skewness-anomaly-us-sp500-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.98 | -2 | -0.56 | 0.24 |
| `r-skewness-anomaly-us-sp500-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -0.76 | -1.3 | -0.55 | 0.48 |
| `r-skewness-anomaly-us-sp500-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | -0.33 | -1.14 | -0.61 | 1.77 |
| `r-skewness-anomaly-us-sp500-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.29 | -1.23 | -1.53 | -0.9 |
| `r-skewness-anomaly-us-sp500-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.46 | -0.4 | -0.93 | 0.21 |
| `r-skewness-anomaly-us-sp500-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -1.13 | -0.39 | -2.03 | -0.78 |
| `r-skewness-anomaly-us-sp500-0273` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.65 | -0.42 | -1.43 | 1.31 |
| `r-skewness-anomaly-us-sp500-0287` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=10 | -0.21 | 0.2 | -1.49 | 1.97 |
| `r-skewness-anomaly-us-sp500-0301` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | 0.06 | 0.46 | -1.16 | 1.56 |
| `r-skewness-anomaly-us-sp500-0313` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=60 | 0.53 | 0.4 | 0.02 | 3.19 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 0.53 (p=0.075).**
  - Value: 0.53 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.69.**
  - Value: -0.69 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.51 across 320 runs.**
  - Value: 0.51 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -1.04 across 320 runs.**
  - Value: -1.04 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is -0.90 across 320 runs.**
  - Value: -0.9 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-regime-up

## Related strategies

- same_strategy: [skewness-anomaly-jp-all](https://qbuntu.ai/strategies/skewness-anomaly-jp-all)
- same_strategy: [skewness-anomaly-jp-growth](https://qbuntu.ai/strategies/skewness-anomaly-jp-growth)

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Cite as: qbuntu (2026). Skewness Anomaly (US S&P 500). https://qbuntu.ai/strategies/skewness-anomaly-us-sp500

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