There are significant benefits to steering portfolios towards an improved skew in their profile of returns.
Positively skewed returns, when attained, are an appealing feature of systematic strategies. In this note, we examine CTA performance data for evidence of the positively skewed returns to which these funds aspire. We argue that the recent string of exceptions to value-at-risk (VaR) risk measures for such strategies raises questions about crowding in this space – and the risk that deeper-than-anticipated drawdowns may be lurking for investor
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