An Evaluation of the Skewness Model on 22 Commodities Futures

Skewness is one of the less-known but practical measures from statistics that can be used in trading. It is defined as a measure of the asymmetry of the probability distribution of a random variable around its mean. The goal of this analysis is to explore the commodity skewness trading strategy and perform the battery of robustness tests to see how sensitivity analysis changes overall results regarding performance, volatility, and Sharpe ratios.

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