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rejectedno_edge· equity· anomaly· factor· lottery· skewness

Skewness Anomaly (US S&P 500)

slug: skewness-anomaly-us-sp500
performance summary
Sharpe (median)
-0.69
Max DD
-19.8%
Win rate
—
Alpha (ann.)
—
p-value
0.12
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median -0.69best 0.53 (not representative)worst -3.30p25–p75 -1.22–-0.19

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.

Facts (5)

Best grid Sharpe ratio is 0.53 (p=0.075).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio0.53
cite ↗ /cite/skewness-anomaly-us-sp500-fact-best-sharpevia r-skewness-anomaly-us-sp500-0313
Median Sharpe across 320 grid runs is -0.69.
Full grid of 320 parameter combinations.
sharpe_ratio-0.69
cite ↗ /cite/skewness-anomaly-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is 0.51 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.51
cite ↗ /cite/skewness-anomaly-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -1.04 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.04
cite ↗ /cite/skewness-anomaly-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.90 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.90
cite ↗ /cite/skewness-anomaly-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.94-2.64-1.87-0.83
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.57-1.93-1.87-0.83
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-2.34-3.12-2.24-1.15
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.90-2.25-2.24-1.15
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.42-1.80-1.33-0.31
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.55-1.71-1.88-0.24
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.92-1.79-0.71+1.09
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.74-1.10-1.11+1.12
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.34-0.57-0.84+1.45
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.01-0.60-0.07+2.34
formation_days=20, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.15+0.80-0.84+0.69
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.62-1.27-1.58-2.65
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-3.30-4.12-2.22-3.46
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.65-1.89-1.80-0.64
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.95-1.14-1.20+0.16
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.61-0.96-1.65+1.74
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.01-0.37-0.57+2.66
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.46-1.66-1.48-0.93
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.61-3.51-1.37-3.08
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.96-1.40-1.09+0.38
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.98-2.00-0.56+0.24
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.76-1.30-0.55+0.48
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.33-1.14-0.61+1.77
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.29-1.23-1.53-0.90
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.46-0.40-0.93+0.21
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.13-0.39-2.03-0.78
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.65-0.42-1.43+1.31
formation_days=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0287
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.21+0.20-1.49+1.97
formation_days=120, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0301
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.06+0.46-1.16+1.56
formation_days=120, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0313
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.53+0.40+0.02+3.19

Target universe

S&P 500 constituents, ~503 stocks

Related strategies

same_strategy:skewness-anomaly-jp-allsame_strategy:skewness-anomaly-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:31:34
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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