We study the evolutionary dynamics of a phenotypically structured population in a changing environment, where the environmental conditions vary with a linear trend but in an oscillatory manner. Such phenomena can be described by parabolic Lotka-Volterra type equations with non-local competition and a time dependent growth rate. We first study the long time behavior of the solution to this problem. Next, using an approach based on Hamilton-Jacobi equations we study asymptotically such long time solutions when the effects of the mutations are small. We prove that, as the effect of the mutations vanishes, the phenotypic density of the population concentrates on a single trait which varies linearly with time, while the size of the population oscillates periodically. We also provide asymptotic expansions for the moments of the phenotypic distribution. Via some examples and a comparison with a biological experiment, we show how our method can be used to determine the effect of the oscillations of the environment on the performance of the population or its ability to follow the environmental shift.