Research and publications
Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation
The Mt. Lucas index provides a systematic approach for capturing a portion of the return of trend-following commodity traders. The authors analyze the Mt. Lucas Index across different historical periods, evaluating its performance within a multi-period asset allocation framework. Their results indicate that the index improves the overall return/risk characteristics of the multi-period asset allocation model. They show that the total return consists of: 1) T-Bill returns on marginable assets, 2) static returns from trendfollowing futures markets, and 3) rebalancing gains. The importance of the third element is emphasized.
Author(s):
John M. Mulvey, Shiv Siddhant N. Kaul, Koray D. Simsek
Summary:
The Mt. Lucas index provides a systematic approach for capturing a portion of the return of trend-following commodity traders. The authors analyze the Mt. Lucas Index across different historical periods, evaluating its performance within a multi-period asset allocation framework. Their results indicate that the index improves the overall return/risk characteristics of the multi-period asset allocation model. They show that the total return consists of: 1) T-Bill returns on marginable assets, 2) static returns from trendfollowing futures markets, and 3) rebalancing gains. The importance of the third element is emphasized.
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Register/Log in| Type : | Working paper |
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| Date : | 17/09/2003 |
| Keywords : |
Alternative Investments |
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