This article reviews recent academic studies that analyze the performance of long-short
strategies in commodity futures markets. Special attention is devoted to the strategies based …

We establish the existence of anomalous excess returns based on trend following strategies
across four asset classes (commodities, currencies, stock indices, bonds) and over very long …

This study investigates the association between overnight and daytime-trading session
returns in US equity markets over the last 14 years and interprets it using the overreaction …

This study explains the role of economic uncertainty as a bridge between business cycles
and investors' herding behavior. Starting with a conventional stochastic differential equation …

The rapid growth and expanding applications of cryptocurrencies are the main factors that
have led them to be considered potential assets to investment portfolios. However, the fierce …

This study examines the time‐series momentum in China's commodity futures market. We
find that a time‐series momentum strategy outperforms classical passive long and cross …

This study proposes a principal alpha-style factor integrated risk parity strategy that can
diversify style risk factors and the stock selection risk of external managers in Fund-of-Funds …

This paper concentrates on the time series momentum or contrarian effects in the Chinese
stock market. We evaluate the performance of the time series momentum strategy applied to …

We provide evidence that a simple moving average timing strategy, when applied to
portfolios of commodity futures, can generate superior performance to the buy-and-hold …

This paper is the second of a two-part series that provides essential context for any serious
study of alternative risk premium (ARP) strategies. Practitioners uniformly emphasize the …