ReturnSkew3F · Risk · Bali, Engle and Murray (2015)

Idiosyncratic skewness (3F model)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.18%

95% interval −0.13% to 0.48%

Next year

0.17%

95% interval −0.16% to 0.49%

Next five years

0.13%

95% interval −0.25% to 0.51%

Next quarter

1.45%

95% interval 1.17% to 1.73%

Next year

1.36%

95% interval 1.05% to 1.69%

Next five years

1.11%

95% interval 0.63% to 1.57%

Next quarter

−0.36%

95% interval −0.77% to 0.07%

Next year

−0.30%

95% interval −0.76% to 0.15%

Next five years

−0.13%

95% interval −0.74% to 0.45%

Next quarter

2.08%

95% interval 1.64% to 2.49%

Next year

1.91%

95% interval 1.45% to 2.36%

Next five years

1.40%

95% interval 0.77% to 2.03%

Cumulative market-adjusted return

+28% since 1926Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q4–2024Q4	0.45%	6.32%	0.07	0.71
2020Q1–2024Q4	0.49%	7.04%	0.07	0.15
2024Q1–2024Q4	5.74%	8.49%	0.68	0.68
1926Q4–2024Q4	5.00%	6.19%	0.81	8.01
2020Q1–2024Q4	4.72%	8.53%	0.55	1.24
2024Q1–2024Q4	7.68%	11.10%	0.69	0.69
1926Q4–2024Q4	−0.25%	8.86%	−0.03	−0.27
2020Q1–2024Q4	−3.77%	7.16%	−0.53	−1.18
2024Q1–2024Q4	1.89%	7.07%	0.27	0.27
1926Q4–2024Q4	5.98%	8.33%	0.72	7.11
2020Q1–2024Q4	6.50%	11.05%	0.59	1.32
2024Q1–2024Q4	12.65%	12.63%	1.00	1.00

Horizon	Mean	95% interval	P(neg)
Next quarter	0.057	−0.042 – 0.153	0.13
Next year	0.052	−0.050 – 0.155	0.16
Next five years	0.040	−0.078 – 0.162	0.25
Next quarter	0.479	0.380 – 0.573	0.00
Next year	0.446	0.341 – 0.554	0.00
Next five years	0.358	0.201 – 0.509	0.00
Next quarter	−0.083	−0.177 – 0.015	0.95
Next year	−0.069	−0.174 – 0.035	0.90
Next five years	−0.030	−0.167 – 0.102	0.67
Next quarter	0.512	0.399 – 0.617	0.00
Next year	0.466	0.352 – 0.578	0.00
Next five years	0.338	0.184 – 0.487	0.00