Recent theoretical literature argues that total skewness matters to the pricing of assets, assets with higher degrees of skewness or lottery-like features should earn lower expected returns. The impact of skewness on asset’s future returns has been investigated mainly for equities and options, but researches are moving to review also other assets.

A recent article by Perez, Frijns, Fuertes, and Miffre studies the pricing of skewness in commodity futures markets. The time-series tests show that a fully-collateralized portfolio that buys commodities with low skewness and shorts commodities with high skewness earns 8.01% a year with a t-statistic of 4.08. The performance of the low-minus-high skewness portfolio is not fully explained by a standard commodity benchmark, which makes it a perfect addition to commodity-based multi-strategy portfolios.

Academic studies explain skewness effect in all assets by investors are willing to pay a higher price, and to earn a lower expected return, on assets with lottery-like payoffs. A recent study shows that skewness affects commodity futures returns and documents that skewness is priced in different markets than the ones where retail investors typically trade. Hence, its findings suggest that the effect of skewness on asset returns is not merely a consequence of retail investor preferences. Rather this indicates that other groups of traders have these heterogeneous preferences.