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Trend Following, Risk Parity and Momentum in Commodity Futures

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Trend Following, Risk Parity and Momentum in Commodity Futures. / Clare, Andrew; Seaton, James; Smith, Peter Nigel; Thomas, Stephen .

In: International Review of Financial Analysis, Vol. 31, 01.01.2014, p. 1-12.

Research output: Contribution to journalArticlepeer-review

Harvard

Clare, A, Seaton, J, Smith, PN & Thomas, S 2014, 'Trend Following, Risk Parity and Momentum in Commodity Futures', International Review of Financial Analysis, vol. 31, pp. 1-12. https://doi.org/10.1016/j.irfa.2013.10.001

APA

Clare, A., Seaton, J., Smith, P. N., & Thomas, S. (2014). Trend Following, Risk Parity and Momentum in Commodity Futures. International Review of Financial Analysis, 31, 1-12. https://doi.org/10.1016/j.irfa.2013.10.001

Vancouver

Clare A, Seaton J, Smith PN, Thomas S. Trend Following, Risk Parity and Momentum in Commodity Futures. International Review of Financial Analysis. 2014 Jan 1;31:1-12. https://doi.org/10.1016/j.irfa.2013.10.001

Author

Clare, Andrew ; Seaton, James ; Smith, Peter Nigel ; Thomas, Stephen . / Trend Following, Risk Parity and Momentum in Commodity Futures. In: International Review of Financial Analysis. 2014 ; Vol. 31. pp. 1-12.

Bibtex - Download

@article{c86eecf0104543949c0bb11e34227902,
title = "Trend Following, Risk Parity and Momentum in Commodity Futures",
abstract = "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.",
author = "Andrew Clare and James Seaton and Smith, {Peter Nigel} and Stephen Thomas",
year = "2014",
month = jan,
day = "1",
doi = "10.1016/j.irfa.2013.10.001",
language = "English",
volume = "31",
pages = "1--12",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Trend Following, Risk Parity and Momentum in Commodity Futures

AU - Clare, Andrew

AU - Seaton, James

AU - Smith, Peter Nigel

AU - Thomas, Stephen

PY - 2014/1/1

Y1 - 2014/1/1

N2 - 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.

AB - 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.

U2 - 10.1016/j.irfa.2013.10.001

DO - 10.1016/j.irfa.2013.10.001

M3 - Article

VL - 31

SP - 1

EP - 12

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -