CoskewACX · Risk · Ang, Chen and Xing (2006)

Coskewness using daily returns

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.28%

95% interval −0.41% to 0.98%

Next year

0.28%

95% interval −0.42% to 0.97%

Next five years

0.25%

95% interval −0.47% to 0.98%

Next quarter

0.78%

95% interval 0.11% to 1.44%

Next year

0.78%

95% interval 0.12% to 1.44%

Next five years

0.80%

95% interval 0.14% to 1.43%

Next quarter

0.33%

95% interval −0.54% to 1.20%

Next year

0.33%

95% interval −0.55% to 1.20%

Next five years

0.31%

95% interval −0.58% to 1.21%

Next quarter

0.98%

95% interval 0.14% to 1.80%

Next year

0.98%

95% interval 0.15% to 1.79%

Next five years

1.00%

95% interval 0.15% to 1.80%

Cumulative market-adjusted return

+32% since 1962Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1962Q4–2024Q4	1.10%	11.49%	0.10	0.75
2020Q1–2024Q4	0.58%	13.40%	0.04	0.10
2024Q1–2024Q4	18.71%	12.94%	1.45	1.45
1962Q4–2024Q4	3.60%	10.40%	0.35	2.73
2020Q1–2024Q4	1.06%	15.50%	0.07	0.15
2024Q1–2024Q4	0.76%	16.74%	0.05	0.05
1962Q4–2024Q4	1.37%	14.57%	0.09	0.74
2020Q1–2024Q4	1.24%	16.97%	0.07	0.16
2024Q1–2024Q4	16.62%	22.57%	0.74	0.74
1962Q4–2024Q4	4.52%	13.24%	0.34	2.69
2020Q1–2024Q4	0.20%	18.82%	0.01	0.02
2024Q1–2024Q4	7.43%	14.54%	0.51	0.51

Horizon	Mean	95% interval	P(neg)
Next quarter	0.050	−0.071 – 0.170	0.21
Next year	0.048	−0.072 – 0.170	0.22
Next five years	0.044	−0.081 – 0.170	0.24
Next quarter	0.150	0.021 – 0.278	0.01
Next year	0.151	0.023 – 0.276	0.01
Next five years	0.153	0.026 – 0.275	0.01
Next quarter	0.046	−0.074 – 0.165	0.23
Next year	0.045	−0.075 – 0.165	0.23
Next five years	0.043	−0.080 – 0.167	0.25
Next quarter	0.148	0.022 – 0.273	0.01
Next year	0.149	0.022 – 0.272	0.01
Next five years	0.151	0.023 – 0.274	0.01