Research and publications
Commodities as Lotteries: Skewness and the Returns of Commodity Futures
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low skewness and shorting commodities with high skewness generates a significant excess return of 8% a year, which is not merely a compensation for the risks associated with backwardation and contango. Skewness is also found to explain the cross-section of commodity futures returns beyond exposures to the backwardation and contango risk factors previously identified.
Author(s):
Adrian Fernández-Pérez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre
Summary:
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low skewness and shorting commodities with high skewness generates a significant excess return of 8% a year, which is not merely a compensation for the risks associated with backwardation and contango. Skewness is also found to explain the cross-section of commodity futures returns beyond exposures to the backwardation and contango risk factors previously identified.
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Register/Log in| Type : | Working paper |
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| Date : | 13/10/2015 |
| Keywords : |
Commodities |
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