What Drives the Commodity Skewness Premium?

Where the signal comes from and where it doesn’t.

Over the past week, I have continued to explore skewness strategies in commodities. In a previous post, I showed that a time-series skewness strategy delivers a meaningful Sharpe ratio. A natural next question is whether this performance is broad-based across the commodity universe or concentrated in a smaller set of sectors or contracts. I examine and test this below.