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From the same journal

Trend Following, Risk Parity and Momentum in Commodity Futures

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Publication details

JournalInternational Review of Financial Analysis
DateAccepted/In press - 4 Oct 2013
DateE-pub ahead of print - 22 Oct 2013
DatePublished (current) - 1 Jan 2014
Number of pages12
Pages (from-to)1-12
Early online date22/10/13
Original languageEnglish


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 to a wide array of sources of systematic risk we find that robust alpha survives. Experimenting with risk parity portfolio weightings has limited impact on our results though in particular is beneficial to long-short strategies; the marginal impact of applying trend following methods far outweighs momentum and risk parity adjustments in terms of risk-adjusted returns and limiting downside risk.Overall this leads to an attractive strategy for investing in commodity futures and emphasises the importance of trend following as an investment strategy in the commodity futures context.

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