TY - JOUR T1 - Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation JF - The Journal of Alternative Investments SP - 54 LP - 69 DO - 10.3905/jai.2004.419604 VL - 7 IS - 1 AU - John M. Mulvey AU - Shiv Siddhant N. Kaul AU - Koray D. Simsek Y1 - 2004/06/30 UR - https://pm-research.com/content/7/1/54.abstract N2 - The Mt. Lucas index provides a systematic approach for capturing a portion of the return of trend-following commodity traders. In this article 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 trend-following futures markets, and 3) rebalancing gains. The importance of the third element is emphasized. ER -