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 …

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 aims to analyze the ability to determine the weight of securities of stocks, bonds,
mutual funds and deposits in the implementation of employer pension funds in Indonesia …

50 Stock Portfolio 100 Stock Portfolio 150 Stock Portfolio 200 Stock Portfolio 250 Stock
Portfolio 300 Stock Portfolio 500 Stock Universe 1 month hold 17.0% 14.4% 13.6% 12.7 …

The literature on cross-sectional stock return predictability has documented over 450 factors.
We take the perspective of an institutional investor and navigate this zoo of factors by …

Many studies have revealed that global financial markets are experiencing low-risk
anomalies. In the Korean market, for example, even the portfolios of high-risk stocks …

The aim of this paper is to examine the parallels between the country-level and the stock-
level low-risk anomalies. The inter-market variation in returns do not follow the intra-market …

This paper takes another look at the recommendation of Blitz [2012] to allocate strategically
to the value, momentum and low-volatility factor premiums in the equity market. Five years of …

We are the first to document an alpha momentum effect in commodity markets. We
demonstrate a strong cross-sectional relationship between future commodity returns and …

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 …