0.91 Sharpe. 875 bps of alpha. Buried in the shape of returns no one looks at.

A new paper shows that the spread of realized skewness across U.S. stocks (not the average, the dispersion) is a powerful predictor of future market returns.

• Negatively predicts S&P 500 excess returns over 1-12 month horizons,

• Survives against 50 competing predictors (only 6 retain independent power),

• Out-of-sample R² up to 8.9%,

• Portfolio Sharpe ratios of 0.82-0.94 at monthly rebalancing, vs. 0.57 for buy-and-hold.

The twist? The signal works only around FOMC meetings and vanishes in non-FOMC months. It captures how heterogeneous beliefs get priced in as macro news arrives.

Simple to build. Just intraday returns, no options, no alternative data.