CoskewACX · Risk · Ang, Chen and Xing (2006)

Coskewness using daily returns

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q4 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

1.24%

95% interval −2.10% to 4.64%

Next year

2026Q4–2027Q3

1.24%

95% interval −2.11% to 4.65%

Next five years

2026Q4–2031Q3

1.23%

95% interval −2.17% to 4.70%

Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.

Cumulative market-adjusted return

+23% since 1962Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1962Q4–2024Q4	1.10%	11.49%	0.10	0.75
2020Q1–2024Q4	0.58%	13.40%	0.04	0.10
2024Q1–2024Q4	18.71%	12.94%	1.45	1.45
1962Q4–2024Q4	3.60%	10.40%	0.35	2.73
2020Q1–2024Q4	1.06%	15.50%	0.07	0.15
2024Q1–2024Q4	0.76%	16.74%	0.05	0.05
1962Q4–2024Q4	1.37%	14.57%	0.09	0.74
2020Q1–2024Q4	1.24%	16.97%	0.07	0.16
2024Q1–2024Q4	16.62%	22.57%	0.74	0.74
1962Q4–2024Q4	4.52%	13.24%	0.34	2.69
2020Q1–2024Q4	0.20%	18.82%	0.01	0.02
2024Q1–2024Q4	7.43%	14.54%	0.51	0.51

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.08	−0.15 – 0.32	0.24
2026Q4–2027Q3	0.08	−0.15 – 0.32	0.24
2026Q4–2031Q3	0.08	−0.15 – 0.32	0.25
2026Q4	0.30	0.06 – 0.53	0.01
2026Q4–2027Q3	0.32	0.06 – 0.56	0.01
2026Q4–2031Q3	0.32	0.06 – 0.57	0.01
2026Q4	0.09	−0.14 – 0.32	0.24
2026Q4–2027Q3	0.09	−0.15 – 0.32	0.24
2026Q4–2031Q3	0.09	−0.15 – 0.32	0.24
2026Q4	0.30	0.06 – 0.53	0.01
2026Q4–2027Q3	0.31	0.06 – 0.56	0.01
2026Q4–2031Q3	0.32	0.06 – 0.57	0.01