Time-Series Momentum

Each month, hold the assets with positive 12-month returns from a nine-asset ETF basket, sized by inverse volatility; put the rest in T-bills. Unlike the published strategy, this model has no volatility target or leverage and uses no one-month skip.

• Type: Tactical
• Frequency: monthly
• Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Credit, Commodities, Gold, REITs
• Backtest window: 2007-05-30 to 2026-09-21

1Y

10.3%

3Y

43.0%

CAGR

12.0%

Max DD

-7.0%

Sharpe

0.95

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%.

Source: Moskowitz, T. J., Ooi, Y. H. & Pedersen, L. H. (2012). Time Series Momentum. Journal of Financial Economics.

Headline backtest performance as of 2026-09-21.

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