{"url":"https://etfiq.com/models/strategies/multi-asset-momentum/","section":"models","title":"Multi-asset time-series momentum: Rules and Record | ETFIQ","description":"Multi-asset time-series momentum: the rule, what it holds at the Nov 3, 2026 close, its signal and its paper record. A hypothetical ETF strategy.","as_of":"Nov 3, 2026","structured_data":[{"@type":"WebPage","@id":"https://etfiq.com/models/strategies/multi-asset-momentum/#page","name":"Multi-asset time-series momentum: Rules and Record","url":"https://etfiq.com/models/strategies/multi-asset-momentum/","description":"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\u2019s +7.6%, deepest fall \u221214.4%.","dateModified":"2026-11-03","isPartOf":{"@id":"https://etfiq.com/models/strategies/#page"},"publisher":{"@id":"https://etfiq.com/#org"}},{"@type":"BreadcrumbList","itemListElement":[{"@type":"ListItem","position":1,"name":"ETFIQ","item":"https://etfiq.com/"},{"@type":"ListItem","position":2,"name":"ETF Models","item":"https://etfiq.com/models/"},{"@type":"ListItem","position":3,"name":"Strategy Lab","item":"https://etfiq.com/models/strategies/"},{"@type":"ListItem","position":4,"name":"Multi-asset time-series momentum","item":"https://etfiq.com/models/strategies/multi-asset-momentum/"}]},{"@type":"WebPage","name":"Multi-asset time-series momentum: Rules and Record","description":"Multi-asset time-series momentum: the rule, what it holds at the Nov 3, 2026 close, its signal and its paper record. A hypothetical ETF strategy.","url":"https://etfiq.com/models/strategies/multi-asset-momentum/","dateModified":"2026-11-03","isPartOf":{"@type":"WebSite","name":"ETFIQ","url":"https://etfiq.com"},"speakable":{"@type":"SpeakableSpecification","cssSelector":[".lede"]},"publisher":{"@id":"https://etfiq.com/#org"}}],"characters":2263,"truncated":false,"content":"ETFIQ / ETF Models / Strategy Lab / Multi-asset time-series momentum \n \n Data as of Nov 3, 2026. Rebuilt every trading night.\n Multi-asset time-series momentum\n Hold each of ten assets that rose over 12 months, sized so each carries similar risk. The rest sits in cash.\n 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\u2019s +7.6%, deepest fall \u221214.4%.\n Hypothetical. No money is invested.\n What it holds at the Nov 3, 2026 close Fund Name Weight \n Cash 42.8% \n HYG iShares iBoxx $ High Yield Corporate Bond ETF 20.0% \n SPY SPDR S&P 500 ETF Trust 10.0% \n EFA iShares MSCI EAFE ETF 9.0% \n VNQ Vanguard Real Estate ETF 7.5% \n DBC Invesco DB Commodity Index Tracking Fund 5.8% \n EEM iShares MSCI Emerging Markets ETF 4.8% \n The rule\n Hold each of ten assets that rose over 12 months, sized so each carries similar risk. The rest sits in cash.\n A rule reads the close of the last trading day of the month and trades at the next close.\n The universe is 10 funds; the benchmark is iShares Core 60/40 Balanced Allocation ETF (AOR).\n It is checked at each month end.\n Source: Moskowitz, T. J., Ooi, Y. H. and Pedersen, L. H. (2012). Time Series Momentum. Journal of Financial Economics 104(2), 228-250.\n Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo .\n Where to next\n Compare strategies Build your own How we test All strategies Investment committee \n Cite this page. ETFIQ, ETFIQ Strategy Lab, Multi-asset time-series momentum, data as of Nov 3, 2026. https://etfiq.com/models/strategies/multi-asset-momentum/ Free to use with attribution for data ETFIQ computes; issuer data stays under its owner's terms. The underlying files are at Open data .\n Other forms Plain ETFIQ, ETFIQ Strategy Lab, Multi-asset time-series momentum, data as of Nov 3, 2026. https://etfiq.com/models/strategies/multi-asset-momentum/ APA ETFIQ. (Nov 3, 2026). ETFIQ Strategy Lab, Multi-asset time-series momentum. Retrieved from https://etfiq.com/models/strategies/multi-asset-momentum/ Markdown [ETFIQ Strategy Lab, Multi-asset time-series momentum (ETFIQ, Nov 3, 2026)](https://etfiq.com/models/strategies/multi-asset-momentum/)","source":"ETFIQ, independent ETF data. Recomputed nightly from public filings and prices.","publisher":{"@id":"https://etfiq.com/#org","name":"ETFIQ","url":"https://etfiq.com"},"license":"https://etfiq.com/license/","license_text":"Data ETFIQ computes is free to use with attribution: ETFIQ (etfiq.com). Issuer data stays under its owner's terms.","citation":"ETFIQ Strategy Lab, Multi-asset time-series momentum, data as of Nov 3, 2026. https://etfiq.com/models/strategies/multi-asset-momentum/"}