The research examines the skewness of cryptocurrencies. The aim is to investigate the performance of portfolios based on skewness. We constructed two models. The first model, called the monthly model, calculates for each day the skewness based on the last 30 days. The obtained results show that...

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

This paper examines the relationship between the skewness in returns and future expected returns across different asset classes. At first, a relation for each of three asset classes (currencies, equities, bonds) is revised by building skew-based long/short portfolio from the investment universe...