Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · Core

Multi-asset time-series momentum

Based on Moskowitz, Ooi & Pedersen, 2012

CorePartly inHypotheticalNext rebalance Dec 1, 2026

At the Nov 3, 2026 close Multi-asset time-series momentum is partly in and holds HYG 20%, SPY 10%, EFA 9% and 3 more, with 43% in cash. Hypothetical back-test since 2010: +4.0% a year against AOR’s +7.6%, deepest fall −14.4%.

IQ · Nov 3, 2026

Scorecard window, Jan 15, 2010 to Nov 3, 2026

Paper recordNot startedStarts Nov 4, 2026

Back-test, a year+4.0%vs AOR +7.6%

Max drawdown−14.4%vs AOR −22.2%

Sharpe0.46vs AOR 0.62

Turnover146%a year

Funds7held now

Growth of $10,000

Jan 2010 to Nov 3, 2026 · after costs

Nov 3, 2026Back-testStrategy$19,418+94.2%AOR$34,281+242.8%

$10,000$34.3k$19.4k

Jan 2010May 2013Sep 2016Feb 2020Jun 2023Nov 2026

StrategyAORBack-testPaper record

Drawdown

Fall from the last high

Strategy worst −14.4%AOR worst −22.2%

−20%−10%0%

Jan 2010May 2013Sep 2016Feb 2020Jun 2023Nov 2026

Rolling 12-month return

+4.0%+8.2%

0%+10%+20%

Nov 2024Jul 2025Mar 2026Nov 2026

Rolling 12-month Sharpe

0.470.82

0.01.02.0

Nov 2024Jul 2025Mar 2026Nov 2026

Holdings now

Nov 3, 2026 close

CashCash and T-bills42.8%HYGiShares iBoxx $ High Yield Corporate Bond ETF20.0%SPYSPDR S&P 500 ETF Trust10.0%EFAiShares MSCI EAFE ETF9.0%VNQVanguard Real Estate ETF7.5%DBCInvesco DB Commodity Index Tracking Fund5.8%EEMiShares MSCI Emerging Markets ETF4.8%

Signals

Hold each of ten assets that rose over 12 months, sized so each carries similar risk. The rest sits in cash.

6 in · 4 out

Nearest to flipping

Fund12-monthRankDistance to flipState

LQD−1.7%1.7 ptsOut

IEF−1.7%1.7 ptsOut

HYG+1.9%1.9 ptsIn

GLD−2.6%2.6 ptsOut

TLT−5.4%5.4 ptsOut

Fund12-monthRankDistance to flipState

SPY+11.6%11.6 ptsIn

EFA+12.8%12.8 ptsIn

EEM+11.9%11.9 ptsIn

IEF−1.7%1.7 ptsOut

TLT−5.4%5.4 ptsOut

LQD−1.7%1.7 ptsOut

HYG+1.9%1.9 ptsIn

GLD−2.6%2.6 ptsOut

DBC+45.4%45.4 ptsIn

VNQ+10.7%10.7 ptsIn

Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

Points (pts) are percentage points.

Date	Action	Fund	Price	Weight	Reason	Record
Oct 30, 2026	Out	GLD	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Sep 30, 2026	Out	LQD	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Sep 30, 2026	Out	IEF	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jul 31, 2026	Out	TLT	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2026	In	TLT	at close	9.8%	Rule added it. Next close, after costs.	Back-test
Mar 31, 2026	Out	TLT	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Dec 31, 2025	In	VNQ	at close	7.1%	Rule added it. Next close, after costs.	Back-test
Oct 31, 2025	In	TLT	at close	9.5%	Rule added it. Next close, after costs.	Back-test
Sep 30, 2025	Out	VNQ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jul 31, 2025	Out	TLT	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jul 31, 2025	In	DBC	at close	5.9%	Rule added it. Next close, after costs.	Back-test
Apr 30, 2025	Out	DBC	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Feb 28, 2025	In	TLT	at close	7.5%	Rule added it. Next close, after costs.	Back-test
Feb 28, 2025	In	IEF	at close	15.9%	Rule added it. Next close, after costs.	Back-test
Dec 31, 2024	Out	TLT	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Dec 31, 2024	Out	IEF	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Dec 31, 2024	In	DBC	at close	6.2%	Rule added it. Next close, after costs.	Back-test
Aug 30, 2024	In	TLT	at close	6.5%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2024	In	IEF	at close	15.5%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2024	Out	DBC	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
May 31, 2024	In	VNQ	at close	5.5%	Rule added it. Next close, after costs.	Back-test
May 31, 2024	In	LQD	at close	14.2%	Rule added it. Next close, after costs.	Back-test
Apr 30, 2024	Out	VNQ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2024	Out	LQD	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test

No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3

Dec 2025	Jan 2026	Feb 2026	Mar 2026	Apr 2026	May 2026	Jun 2026	Jul 2026	Aug 2026	Sep 2026	Oct 2026	Nov 2026
0.0	2.3	2.5	−3.0	2.7	0.6	−0.5	−0.6	1.3	−2.6	0.2	0.0

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year	AOR
2026*	2.3	2.5	−3.0	2.7	0.6	−0.5	−0.6	1.3	−2.6	0.2	0.0		2.9	6.5
2025	1.8	1.1	0.0	−0.2	0.5	1.6	0.0	2.1	2.6	1.2	0.8	0.0	12.0	15.7
2024	−0.5	0.7	2.0	−1.5	1.7	0.6	1.9	1.8	1.9	−2.2	1.4	−2.6	5.3	11.4
2023	0.5	−0.3	0.4	0.5	−0.1	1.0	1.5	−0.9	−1.8	−0.2	4.0	2.3	6.8	15.8
2022	−1.3	−0.4	0.8	−0.8	−0.2	−0.4	−0.1	0.2	0.0	0.5	0.4	0.2	−1.0	−15.7
2021	−1.0	−0.7	−0.2	2.0	1.2	0.5	0.6	0.6	−1.6	1.8	−1.6	2.2	3.8	11.2
2020	0.4	−1.5	−4.4	−0.9	0.3	0.2	1.5	−0.5	−0.6	−1.0	2.3	1.3	−3.0	11.2
2019	0.1	0.1	2.2	0.2	0.6	3.1	−0.1	3.4	−0.4	0.5	−0.2	1.9	12.0	19.8
2018	1.1	−2.9	0.4	−0.2	0.0	−0.6	0.8	0.3	0.2	−2.7	−0.1	−1.1	−4.8	−6.3
2017	1.4	1.5	0.0	0.9	1.0	0.2	1.3	0.5	0.4	1.2	0.7	1.0	10.7	15.8
2016	0.1	0.3	0.1	0.3	−0.1	2.9	1.3	−0.4	0.0	−2.1	−3.0	0.7	0.0	6.7
2015	2.7	−0.8	0.0	−0.2	−0.5	−1.6	1.2	−1.4	0.0	0.3	−0.2	0.0	−0.8	−1.9
2014	−0.6	1.9	0.0	0.8	1.1	0.7	−1.3	2.4	−2.8	2.0	0.8	−0.2	4.8	7.6
2013	0.4	0.0	0.8	2.9	−3.3	−2.0	1.6	−1.1	1.0	1.4	0.1	0.5	2.3	16.5
2012	1.5	0.2	−0.5	1.3	−0.5	0.9	1.5	0.1	0.1	−0.5	0.6	0.8	5.6	10.4
2011	0.2	1.7	0.4	3.2	0.2	−1.4	1.7	0.3	−2.0	1.1	−0.4	0.9	5.9	1.1
2010	−1.5	1.3	1.6	1.4	−2.4	0.8	1.7	1.1	2.2	1.3	−1.1	1.8	8.4	8.8
2009	−0.8	−0.2	0.5	−0.5	0.1	0.0	0.8	0.1	0.8	0.2	2.5	−0.8	2.8	n/a
2008					−0.4	0.4	−0.5	−0.2	−1.7	−1.0	1.4	1.4	−0.6	n/a

Scorecard

vs AOR · back-test Jan 15, 2010 to Nov 3, 2026 · after costs

+4.0% a year vs AOR +7.6%.Max drawdown −14.4% vs −22.2%.

Return

MeasureStrategyAOREdge

Total return+95.1%+244%AOR

Annualised+4.0%+7.6%AOR

Risk

MeasureStrategyAOREdge

Volatility5.6%10.1%Strategy

Max drawdown−14.4%−22.2%Strategy

Upside capture34.2%100.0%AOR

Downside capture41.6%100.0%Strategy

Beta0.401.00Lower

Risk-adjusted

MeasureStrategyAOREdge

Sharpe ratio0.460.62AOR

Sortino ratio0.630.89AOR

Calmar ratio0.280.34AOR

Alpha, a year+0.1%n/aNot significant

Costs and taxes

MeasureStrategyAOREdge

Turnover, a year146%n/a

Cost drag, a year−0.03%n/a

Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 1.5% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.

t = 0.08Alpha of +0.1% a year is not significant, on back-test data.

146%turnover a year. Costs take 0.0 points.

MethodSource, rules, funds and limitsOpen ↓

SourceMoskowitz, T. J., Ooi, Y. H. and Pedersen, L. H. (2012). Time Series Momentum. Journal of Financial Economics 104(2), 228-250. ↗

VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies

Exact rules

Hold each of ten assets that rose over 12 months, sized so each carries similar risk. The rest sits in cash.
A rule reads the close of the last trading day of the month and trades at the next close.
The universe is 10 funds; the benchmark is iShares Core 60/40 Balanced Allocation ETF (AOR).
It is checked at each month end.

What we cannot measure

The paper trades futures long and short; these funds are long only, so a falling asset goes to cash, never short.
Taxes.

Fund list · 10 funds

SPY EFA EEM IEF TLT LQD HYG GLD DBC VNQ

Cite this pageCitation, APA and Markdown

ETFIQ Strategy Lab, Multi-asset time-series momentum, data as of Nov 3, 2026. https://etfiq.com/models/strategies/multi-asset-momentum/

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo.

Open data Free to use with attribution

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