Total Portfolio Management (TPM) typically focuses on maximizing the fund level reward-to-risk ratio across asset classes on a strategic and tactical basis. Recent evidence suggests that style exposures provide a material contribution to the returns reaped by asset owners. We show that the...

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...

The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity,...