Multi-Asset Skewness Trading Strategy

The best course of action for every quant researcher is to try fundamentally understand anomalies and explore their functioning besides the original scope of the academic research papers. The goal of this article was to look for inspiration and further explore the Skewness effect — the tendency of assets with the lowest skewness to outperform assets with the highest skewness. It seems that this anomaly is present not only in commodities but also in currencies, fixed income and equities. Trading strategy that exploits the effect of skewness in the multi-asset setting would earn an annual return of 7.67% when leveraged to the 15% volatility.

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