I am trying to understand why we say that managed future positive tends to exhibit positive Skewness. Is it because when we are using future contracts they are typical to hedge a position. So if we are long in the spot and short in the future, but let’s say that the spot does bad, then we gain in the future market? Is it in this sense that we mean positive skewness?
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for you - Dr. Kathryn Kaminski - Managed Futures Trend Following: The Ultimate Diversifier - YouTube
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Cool!
In fact, managed futures are essentially long the trend. They are rarely surprised by “black swan” events since they profit from them. This is why they have a low success rate (% of winning trades) and a high risk/reward ratio (average gain vs. average loss), which makes their strategy skewed towards rare, highly profitable positive outcomes at the cost of frequent small negative losses.
These strategies are called robust for this reason, because they survive the test of time because they are armed against the rare negative outcomes. They really don’t believe that returns and volatility are normally distributed.
I hope this helps.