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 …

parity. Momentum and trend following have often been used interchangeably although the former is a relative concept and the … latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum …

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 …

parity. Momentum and trend following have often been used interchangeably although the former is a relative concept and the … latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum …