Clare, Andrew; Seaton, James; Smith, Peter N.; Thomas, … - In: International Review of Financial Analysis 31 (2014) C, pp. 1-12
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios … which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns … impact of applying trend following methods far outweighs momentum and risk parity adjustments in terms of risk …