["Journal of Futures Markets, EarlyView. ", "\nABSTRACT\nSkewness is one of the strongest predictors of commodity futures returns. The popular behavior‐based explanation is that investors have a preference for positive skewness, which causes positively skewed commodity futures to become overpriced and subsequently earn lower expected returns. We regress skewness on estimated betas from a conditional seven‐factor model that allows betas to vary with characteristics. The fitted values from these regressions are referred to as beta components, while the residuals represent non‐beta components. Standard Fama–MacBeth regressions and portfolio‐sorting analyses show that the predictive power of skewness is exclusively driven by its beta components, suggesting that skewness primarily captures systematic risk.\n"]