Strategies · Core
Return Asymmetry Effect in Commodity Futures
Sort commodities on upside vs downside return asymmetry and hold the preferred tail profile — a moments/tilt book.
Definition
Measure upside vs downside realized moves (or a semi-variance gap). Long the profile the paper wants (often more favorable asymmetry), short the other. Overlaps skewness and trend.
Why it matters
Commodity returns are not symmetric (squeezes vs gluts). Naming the asymmetry is more honest than a mean-variance weight.
Case
A metal with crash-up history into a tight inventory print. The asymmetry was the squeeze option.
How to read it
Window and overlap with momentum/carry. If the sort is 80% energy, you have an energy book.
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