Skewness in Daily Returns
through January 20, 2023

These are US-listed stocks that have a significant skew to their daily price returns. They have more frequent positive or negative daily returns over the past year than can be explained by a normal distribution. 

We would expect to see a relationship between price changes and skewness, which would indicate skewness is a momentum or relative strength indicator. 

Maximum and minimum skew stocks
Limits for Skewness: [-5.5, 5.0]

Maximum and Minimum Skew values found:  13.431 and -12.241


The positive skew stocks are:  
 ['ADN', 'AIMC', 'AKRO', 'APEN', 'BIIB', 'BNFT', 'DAWN', 'ENOV', 'EPIX', 'FHN', 'KRTX', 'MAXR', 'MDGL', 'NKTX', 'NVTA', 'PLRX', 'RXDX', 'SJI', 'SRG', 'TXMD']


The negative skew stocks are:  
 ['AMPL', 'ATHA', 'BVS', 'CMRX', 'CRMD', 'DM', 'EIGR', 'FATE', 'FNKO', 'GATO', 'GIII', 'GOSS', 'IMUX', 'KALV', 'KOD', 'LUNG', 'NGM', 'NKTR', 'OLPX', 'OMCL', 'ORMP', 'PRAX', 'RCM', 'RLMD', 'ROG', 'SYNH', 'TLS', 'UIS', 'USPH', 'VERA', 'VRCA']

Interesting data to capture and report.
A few days ago we ran a report and create a portfolio with the highest (positive) and lowest (negative) skew stocks. This includes all stocks (profitable and unprofitable) that pass our data validation. This is what we now call the QQQ run, but is not yet available to outside clients via our website. It is available to clients who buy via an invoice and pre-order.

Negative SKEW stocks (15):
Jan 24: -8.41, 1.82, -0.77, 2, -0.07

Positive SKEW stocks (11):
Jan 24: -3.66, 1.45, -0.04, 3, -0.07


First day observations, there is a difference between returns based on skewness. We saw this on an ad-hoc basis in the past, so we decided to measure it for now.