Skew
Which side the extreme days fall on.
In the demo portfolio
0.04
How it is computed here
The third standardised moment of the daily returns. Negative means the big moves are losses; positive means they are gains.
Worked example
- The average of each day's cubed distance from the mean, divided by the volatility cubed.
- Near zero: the good and bad surprises are roughly the same size.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
Negative skew is the normal state of equities and it is what makes averages misleading: most days are slightly good and a few are very bad, so the mean describes almost no actual day.