This study examines the empirical relationship between the Omega ratio and yield skewness in European sovereign bond markets, addressing whether distributional asymmetry is systematically reflected in Omega-based performance evaluation. The analysis is guided by two research questions: whether a statistically significant association exists between the Omega ratio and yield skewness across different time horizons, and whether this relationship exhibits cross-country heterogeneity consistent with a core–periphery structure. Using daily data for 10-year government bonds from 27 European countries over the period 2015–2025, we construct constant-maturity total returns and apply a robust Omega ratio formulation with inflation-adjusted thresholds. Yield skewness is measured using time-adjusted daily yield changes. The empirical strategy combines rolling-window correlation analysis, hierarchical clustering based on Kendall’s τ, and Independent Component Analysis to capture both short-term dynamics and latent structural patterns. The results provide strong and consistent evidence of a significant relationship between the Omega ratio and yield skewness across short-, medium-, and long-term horizons, confirming that the Omega ratio captures meaningful aspects of return asymmetry in fixed-income markets. Importantly, the findings reveal pronounced regional heterogeneity: core and Northern European markets exhibit stable positive associations, while several peripheral and emerging markets display weaker or negative relationships. These results imply that Omega-based performance measures reflect not only statistical asymmetry but also underlying differences in market liquidity, risk premia, and institutional structure. Overall, the study highlights the relevance of distribution-sensitive performance measures for sovereign bond evaluation and contributes novel evidence from the European fixed-income context.