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 …

-adjusted performance compared to traditional buy-and-hold portfolios. We also find it to be a superior method of asset allocation than 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 …

This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time …-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy … outperforms passive long and cross-sectional momentum strategies in the Chinese futures market based on Sharpe ratios, risk …

-adjusted performance compared to traditional buy-and-hold portfolios. We also find it to be a superior method of asset allocation than 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 …