The Importance of Skewness in Strategies

The concept of skewness is that it allows you or us at least, because we've always felt very uncomfortable with this idea of risk premium. A lot of people, as soon as they have excess return and in a sense break down of market efficiency, tell you, oh, well, that's because there's a hidden source of risk that you're taking. So what we really wanted to do is to clarify that point. And what we found is that indeed it's true that these strategies that have excess returns are not the standard equity risk premiums starting just from holding stocks. What we also found is that they are strategies that are definitely different from that and in particular, transfollowing

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