The Skewness of Commodity Futures Returns

[MarkBrown]

Just a small info relevant to this thread - we have performed an out of sample analysis of skewness effect in commodities (built on a research paper written by Fernandez-Perez, Frijns, Fuertes and Miffre - The Skewness of Commodity Futures Returns) and it still works well.

You can read more about it in Quantpedia's research article, or on Alpha Architect's blog where it has been published ...

https://poseidon01.ssrn.com/deliver...0123021124105107104015109123106121114&EXT=pdf

 

[KevMo]

Similarly, as other published works suggest ultimately it becomes a "Bankroll" problem.

Like Risk Premia & Carry, they work great until they don't. Regime change always...well, ya know, changes.

Interesting extension of topic:

https://arxiv.org/pdf/1409.7720.pdf