Yes. This is actually a really interesting result. Basically the skew for a trading strategy will only become apparent at frequencies in line with it's holding period. So if you're intra day trading, and trend following, you'd expect to see positive skew at daily horizons. But with a holding period of weeks the positive skew doesn't kick in until you're looking at monthly results. At a daily frequency you end up with skew that is in line with the skew of the typical position you're holding.
Now this is the interesting bit; why is the daily skew negative? This I haven't investigated, but I have some ideas.
In principle imagine a long/short system on one asset. Suppose that asset is the S&P 500. Since stocks have gone up more often than not, we're going to be long on average. But stock indicies have negative skew; so on a daily frequency we'll have negative skew (though less than the index long only).
The question then begs itself, once we have a system that is trading multiple asset classes why this effect doesn't even out. For example you'd expect bonds to have positive skew, and we're on average long bonds.
A couple of weird things here. Firstly many assets you'd expect to have positive skew (like US bonds) don't on daily returns; although they do at slower periods. Is this a weird microstructure effect?
Also, and more intriguingly, is it possible that trend following systems tend to end up long assets when they are likely to have negative daily skew and vice versa? There has been some work showing that skew can be treated like a risk / return premium (I'm talking directional not option trading here); now if it turns out this is correlated with trend following then that is an interesting result (at least academically - not much use for trading).
GAT
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