Risk
Coskewness
A higher-moment risk signal that studies how a stock behaves when large market moves and skewness stress appear.
Risk
Downside Risk
A conditional beta signal that measures how strongly a stock co-moves with the market specifically in bad market states.
Risk
12-Month Downside Risk
Definition phase
Definition
Downside risk is implemented as a downside beta. The signal keeps only the dates where the market is weak and measures how strongly each stock covaries with the market on those downside observations.
The economic intuition is that investors dislike assets that deliver their worst relative payoffs precisely when aggregate wealth and risk tolerance are already under pressure. That makes downside beta a bad-state risk characteristic rather than just another version of ordinary market beta.
Inside the finance research stack, the representative implementation sorts the Russell 1000 cross-section on downside beta and compares the high-downside-beta names against the low-downside-beta 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.