Time-Series Momentum
Time-Series Momentum (Moskowitz, Ooi & Pedersen, 2012; Hurst, Ooi & Pedersen, AQR): hold every asset in a 9-asset cross-asset ETF universe (SPY/EFA/EEM/IEF/TLT/LQD/DBC/GLD/VNQ) with positive trailing 12-month total return, sized by inverse volatility for equal risk contribution, and rotate the rest to T-bills (BIL). Simplified: positions use inverse-volatility sizing but there is no dynamic portfolio-level volatility target or leverage, so total notional stays at or below 100% (the academic strategy targets constant per-asset volatility and can exceed 100% notional). Uses a plain 12-month lookback (no 12-minus-1 skip).
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Credit, Commodities, Gold, REITs
- Backtest window: 2007-05-30 to 2026-06-12
- 1Y
- 16.0%
- 3Y
- 43.1%
- CAGR
- 1.3%
- Max DD
- -32.8%
- Sharpe
- -0.15
Methodology
- Each month, compute trailing 12-month total return for all 9 cross-asset ETFs.
- Hold every asset with positive trailing momentum; rotate the rest to BIL.
- Size held positions by inverse volatility (equal risk contribution); notional stays <= 100%.
Headline backtest performance as of 2026-06-12.