While the principles in MPT are important to portfolio construction, they fail to address real-time investment challenges. In this primer, we explore the efficacy of statistical skew and its application to real-time portfolio management. What we find is that statistical skew can be utilized to build a more dynamic portfolio with potential to capture additional risk premia – Redwood’s Skew Portfolio Theory (SPT).
White Papers & Case Studies
The Third Moment in Equity Portfolio Theory – Skew