• The skewness of a distribution is the normalized form of the third moment of a distribution of returns.
  
  This measure characterizes the degree of asymmetry of a distribution around its mean: Gaussian returns have a skewness of 0 whereas negative (respectively positive) skewness implies asymmetry toward negative values (left-hand side) and indicates the distribution tail is larger for negative (resp. positive) values.

A risk-averse investor does not like financial products with negative skewness.