RT Journal Article SR Electronic T1 Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation JF The Journal of Alternative Investments FD Institutional Investor Journals SP 54 OP 69 DO 10.3905/jai.2004.419604 VO 7 IS 1 A1 John M. Mulvey A1 Shiv Siddhant N. Kaul A1 Koray D. Simsek YR 2004 UL https://pm-research.com/content/7/1/54.abstract AB 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.