Gong, Rui and Lynch, John and Ogden, Richard, Skewness Managed Portfolios (May 31, 2026, SSRN) argue that returns to many prominent cross-sectional anomalies are driven by a small number of extreme, positively skewed stock returns. So explicitly selecting stocks with high expected skewness for the long side can substantially improve anomaly performance (summary).
We ran a backtest that “enhanced” basic momentum with skew predictions and liquidity improvements.
If you look at the pre-COVID window, Omega variants out-performed the basic ones and Omega + Skew ruled them all. Also, the Skew variants out-performed the corresponding basic ones. However, zooming in on the post-COVID performance, we see that the effect of the Skew adjustment has attenuated a bit.
If you include the COVID crash, the big picture argues in favor of Omega + Skew.
You can go ahead and mark this as another useful tool in your toolbox.
Code and charts are on github.