PARTIAL · premium tilt
Hypothesis
Assets with more negative realized skew earn higher subsequent returns (compensation for crash risk); a skew-sorted tilt harvests it.
Math
$$ \text{RSkew}_i = \frac{\tfrac{1}{n}\sum (r_{i,t}-\bar r_i)^3}{\hat\sigma_i^3} $$
Method
Rank alts by trailing realized skew, long most-negative-skew / short most-positive, monthly rebalance, costs applied.
Results
| Skew premium (gross) | positive |
| Net of fees | thin positive |
| Crash co-movement | the premium is the risk |
A real but risk-based tilt: negative-skew names pay a premium precisely because they crash together. It is compensation for tail risk, not free alpha — kept as a small factor tilt with tail awareness, never levered.
A return premium sorted on crash risk is rent for owning crash risk. It shows up as alpha until the crash, when it pays the bill all at once.