%0 Journal Article %A John M. Mulvey %A Shiv Siddhant N. Kaul %A Koray D. Simsek %T Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation %D 2004 %R 10.3905/jai.2004.419604 %J The Journal of Alternative Investments %P 54-69 %V 7 %N 1 %X 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. %U https://jai.pm-research.com/content/iijaltinv/7/1/54.full.pdf