Skewness measures asymmetry in return distributions. Positive skew (right tail longer) means occasional large gains, many small losses — desirable. Negative skew (left tail longer) means occasional large losses, many small gains — undesirable crash risk. Zero skew is symmetric (normal distribution). Typical values: Equity indices ~0 to −0.5 (negative skew from crash risk). Individual stocks −0.5 to 0. Long-only portfolios typically negative. Options: Selling puts creates extreme negative skew (small premiums, rare blow-ups). Buying calls creates positive skew (small losses, rare home runs). Skewness matters because investors are asymmetrically sensitive to losses — a −30% crash hurts more than a +30% gain helps.