# Multi-asset time-series momentum: Rules and Record

> 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.

Data as of Nov 3, 2026. Rebuilt every trading night.

Data as of Nov 3, 2026. Rebuilt every trading night.

## Multi-asset time-series momentum

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

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%.

Hypothetical. No money is invested.

| Fund | Name | Weight |
| --- | --- | --- |
| Cash | | 42.8% |
| HYG | iShares iBoxx $ High Yield Corporate Bond ETF | 20.0% |
| SPY | SPDR S&P 500 ETF Trust | 10.0% |
| EFA | iShares MSCI EAFE ETF | 9.0% |
| VNQ | Vanguard Real Estate ETF | 7.5% |
| DBC | Invesco DB Commodity Index Tracking Fund | 5.8% |
| EEM | iShares MSCI Emerging Markets ETF | 4.8% |

### The rule

- 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.

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

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

### Where to next

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Source: ETFIQ, independent ETF data. Recomputed nightly from public filings and prices.
Cite: ETFIQ Strategy Lab, Multi-asset time-series momentum, data as of Nov 3, 2026. https://etfiq.com/models/strategies/multi-asset-momentum/
Licence: https://etfiq.com/license/ Data ETFIQ computes is free to use with attribution: ETFIQ (etfiq.com). Issuer data stays under its owner's terms.
HTML: https://etfiq.com/models/strategies/multi-asset-momentum/