RSK005Factor HubRisk FactorsMedium
Skewness Factor
Prefers return distributions without long left tails — fewer nasty surprises.
Formula
Score = -Skewness(R_60d)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
6.67%
Sharpe ratio
0.45
Max drawdown
-27.44%
Total return
90.70%
Cumulative performance（2016-09 … 2026-08）
2016 -4.9%2017 -5.1%2018 +1.4%2019 +13.1%2020 +15.4%2021 +10.9%2022 +28.3%2023 -10.7%2024 -0.9%2025 +5.5%2026 +20.2%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SJM | J.M. Smucker | 0.937 |
| 2 | XEL | Xcel Energy | 0.888 |
| 3 | RIO | Rio Tinto | 0.615 |
| 4 | DD | DuPont | 0.582 |
| 5 | NKE | Nike | 0.578 |
| 6 | ABT | Abbott Laboratories | 0.576 |
| 7 | ECL | Ecolab | 0.574 |
| 8 | MRK | Merck | 0.552 |
| 9 | RCL | Royal Caribbean | 0.551 |
| 10 | KMI | Kinder Morgan | 0.531 |
| 11 | BKR | Baker Hughes | 0.519 |
| 12 | BKNG | Booking Holdings | 0.494 |
| 13 | SNOW | Snowflake | 0.490 |
| 14 | MOS | Mosaic | 0.462 |
| 15 | ROKU | Roku | 0.461 |
| 16 | MO | Altria | 0.456 |
| 17 | SPG | Simon Property Group | 0.451 |
| 18 | GOOGL | Alphabet | 0.445 |
| 19 | MCK | McKesson | 0.444 |
| 20 | PPG | PPG Industries | 0.443 |
| 21 | AVGO | Broadcom | 0.433 |
| 22 | HAL | Halliburton | 0.430 |
| 23 | OKE | ONEOK | 0.425 |
| 24 | ORCL | Oracle | 0.400 |
| 25 | ABNB | Airbnb | 0.384 |
| 26 | APD | Air Products | 0.368 |
| 27 | MU | Micron Technology | 0.368 |
| 28 | PYPL | PayPal | 0.365 |
| 29 | AAPL | Apple | 0.363 |
| 30 | PCAR | Paccar | 0.353 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.