Return skewness

⚠ weakened

ReturnSkewRisk· Price data

Skewness of daily returns (ret) over previous month.

IS Sharpe (1926–2014)

0.840

+6.1% p.a.

OOS Sharpe (2015–2024)

0.470

+3.6% p.a.

Sharpe decay

+44.0%

(IS − OOS) / |IS|

IS vol

7.2%

annualized

Cumulative return (last 40 years, monthly)

+183%

1984-012024-12

Publication details

AuthorsBali, Engle and Murray

PaperBali, Engle and Murray (2015)

JournalBook

Publication year2015

Original sample1963–2012

IS T-statistic4.01