By Adrian Fernandez-Perez, Ph.D., Auckland University of Technology, New Zealand; Bart Frijns, Ph.D., Auckland University of Technology, New Zealand; Ana-Maria Fuertes, Ph.D., Cass Business School, City, University of London, U.K.; and Joëlle Miffre, Ph.D., Audencia Business School, Nantes, France
As summarized by Ana-Maria Fuertes, Ph.D., Professor in Finance and Econometrics, Cass Business School, City, University of London, U.K. and Member of the GCARD’s Editorial Advisory Board
This article investigates the link between the skewness of the distribution of commodity futures returns and subsequent price changes. A trading strategy that goes long futures contracts with the most negative skew and shorts futures contracts with the most positive skew has historically generated significant alpha.
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