Sawyer Capital ManagementPredictable & Skewed Returns – Sawyer Capital Management https://www.sawcap.com Evolutionize Web Site Tue, 14 Nov 2017 19:30:19 +0000 en-US hourly 1 https://wordpress.org/?v=5.1.22 Predictable & Skewed Returns https://www.sawcap.com/2015/12/14/predictable-skewed-returns/ https://www.sawcap.com/2015/12/14/predictable-skewed-returns/#respond Mon, 14 Dec 2015 09:00:55 +0000 http://evolvemypractice.com/?p=2427 There has been a lot of research recently that investigates the link between stock returns and higher moments of the return distribution, specifically the skewness of returns. This link, unfortunately, is frequently ignored by more standard measures of market risk and volatility. Skewness, if you’ll recall, measures the asymmetry of a distribution. In terms of...

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]]> There has been a lot of research recently that investigates the link between stock returns and higher moments of the return distribution, specifically the skewness of returns. This link, unfortunately, is frequently ignored by more standard measures of market risk and volatility.

Skewness, if you’ll recall, measures the asymmetry of a distribution. In terms of the stock market, the asymmetric pattern of historical returns doesn’t resemble a normal distribution, also known as the familiar bell curve. Negative skewness occurs when the values to the left of (less than) the mean are fewer but farther from it than values to the right of (greater than) the mean.

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