Skewness as a Time-Series Signal in Commodity Futures

Beyond Ranking Contracts: Skewness as a Within-Contract Timing Signal

Over the past week, I’ve spent some time working on skewness strategies in the commodity space. In a previous post, I demonstrated that sorting commodity futures by realized skewness, going long the most negatively skewed contracts and shorting the most positively skewed, yields meaningful Sharpe ratios after accounting for costs.

A natural follow-up question is whether the time-series dimension of skewness also predicts returns. Instead of comparing which contracts are most negatively skewed relative to each other at a given point in time, we can ask if a contract is currently more negatively skewed than its own history. These are related, but different questions, and the answer has direct implications for how to construct and combine skewness strategies in practice.