Hedging against tail events has been forcefully advocated in the aftermath of recent global financial crisis. Whether this is beneficial to long horizon investors like defined contribution (DC) plan participants, however, has been subject to criticism. We conduct historical simulation since 1928...

This paper explores the source(s) of commodity futures momentum and an associated anomaly. We decompose the 12-month conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 to 11 months prior to portfolio formation...