Risk
Downside Risk
A conditional beta signal that measures how strongly a stock co-moves with the market specifically in bad market states.
Risk
Coskewness
A higher-moment risk signal that studies how a stock behaves when large market moves and skewness stress appear.
Risk
12-0 Coskewness
Definition phase
Definition
Coskewness measures each stock's covariance with squared market returns over a trailing estimation window. That construction emphasizes periods when aggregate market moves become especially large and asks whether the stock performs poorly in those crash-prone or high-volatility states.
The economic idea comes from higher-moment asset pricing: stocks that are especially unattractive in skewness-stressed market states should command different expected returns than stocks with more favorable crash-state behavior.
Inside the finance research stack, the representative implementation sorts the Russell 1000 cross-section on coskewness and compares the low-coskewness names against the high-coskewness names in a market-neutral spread.
Related Signals
Nearby ideas in the library.
Risk
Systematic Volatility
A volatility-shock exposure signal that ranks stocks by how strongly they move when aggregate implied volatility changes.