Honey, you Shrunk the Skew

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Honey, you Shrunk the Skew

nilssonhedge.substack

1 year ago

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This article first appeared in HedgeNordic’s Systematic Strategies and Quant Trading.One of the mythical qualities of a trend-based strategy is that it is a strategy with a positive Skew, which measures the asymmetry of the returns. It is not always trivial to interpret, depending on the actual shape of the distribution.Thanks for reading NilssonHedge’s Newsletter! Subscribe for free to receive new posts and support my work.Skew describes the asymmetry of the shape of the distribution. Positive...

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