Time-Series Momentum (Trend)
NO EDGEAn asset's own past 12-month excess return predicts its return over the next 1 to 12 months in equity index, bond, currency and commodity futures, with partial reversal after about a year.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 5.1% | 9.0% |
| Return per unit of risk (Sharpe) | 0.32 | 0.66 |
| Worst fall (max drawdown) | -72.1% | -52.6% |
// GROWTH OF $1, LOG SCALE
Tested on years it never saw (from the split): 8.6% a year against 12.4% for the benchmark; Sharpe 0.27 in the training years, 0.40 after.
After 25 bps of trading costs: 3.4% a year. BELOW RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 11.1% | 15.5% |
| 2000s | -8.5% | -2.6% |
| 2010s | 8.6% | 11.6% |
| 2020s | 13.7% | 14.1% |
// THE IDEA, AS PUBLISHED
Moskowitz, Ooi & Pedersen (2012), JFE · 2012
- For each of 58 futures and forwards: long if the past 12-month excess return is positive, short if negative
- Scale each position to the same ex-ante volatility (inverse of recent volatility)
- Hold one month, rebalance monthly, equal risk across instruments
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 20:48 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE NOT IN THIS UNIVERSE YET (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE.