12-Month Time-Series Momentum (10 markets): does it still work? Replicated through 2026
We re-ran it on 10 markets from 2011-01-31 to 2026-11-10 (15.8 years, before costs): +8.6% a year, Sharpe 0.78, worst drawdown -21.4%. The benchmark, Equal-weight of 10 markets, did +9.2% a year (Sharpe 0.62, worst drawdown -43.1%).
Verdict: Better risk-adjusted return than its benchmark over this period. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This is our adapted version, not the real portfolio or fund. Read what is lost before comparing it with anything published about the original.
What is lost
- Short positions and volatility targeting, both central to the paper.
- Bond and equity-index futures breadth: 10 markets, some of them (crypto) not in the original.
Where it comes from
The paper that established time-series momentum as a cross-asset premium and underpins CTA trend following.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
For each of 58 liquid futures and forwards, go long if the past 12-month excess return is positive and short if negative, hold one month, size to a 40% annualized volatility target per instrument.
How we replicate it
What we changed
Ten markets instead of 58 futures and forwards; long-only (negative momentum means cash, not short); a fixed 1/10 slot per market instead of per-instrument volatility targeting; monthly signals from month-end closes.
The exact rule we run
On the last trading day of each month, for each of the 10 markets: if the month-end close is above the month-end close 12 months earlier, hold a 1/10 slot in that market for the next month, otherwise that slot stays in cash.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2011-01-31, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: Equal-weight of 10 markets, same period. Equal slots in S&P 500, Gold, Silver, Oil, Natural gas, Commodities, Agriculture, EUR/USD, Bitcoin, Ether, rebalanced daily; a market without data yet stays in cash.
Drawdown from the previous peak
Key numbers
Sample: 2011-01-31 to 2026-11-10, 15.8 years, 5385 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -4.4% | -7.4% |
| Last year | +4.8% | +5.9% |
| Last 5 years | +40.6% | +54.3% |
| Whole period (cumulative) | +267.7% | +299.2% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +5.0% | +6.8% | -1.7% |
| 2025 | +8.8% | +18.5% | -9.7% |
| 2024 | +28.5% | +29.0% | -0.5% |
| 2023 | +0.2% | +13.9% | -13.6% |
| 2022 | +4.0% | -9.5% | +13.5% |
| 2021 | +44.6% | +54.6% | -10.0% |
| 2020 | +29.6% | +37.7% | -8.1% |
| 2019 | +3.1% | +19.2% | -16.1% |
| 2018 | -7.9% | -23.9% | +15.9% |
| 2017 | +38.1% | +52.2% | -14.1% |
| 2016 | +6.8% | +18.4% | -11.6% |
| 2015 | -1.9% | -12.1% | +10.2% |
| 2014 | -4.5% | -14.8% | +10.3% |
| 2013 | +2.4% | -4.0% | +6.5% |
| 2012 | -2.7% | +0.5% | -3.1% |
| 2011* | -1.9% | -5.5% | +3.6% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| S&P 500 SPY | 10.0% |
| Silver SLV | 10.0% |
| Oil USO | 10.0% |
| Commodities DBC | 10.0% |
| Agriculture DBA | 10.0% |
| Cash (0%) | 50.0% |
Last change of position: 2026-10-30. Drawdown from its peak today: -8.3%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -14.3% | -25.4% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | +7.5% | -9.2% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- 130 position changes over 15.8 years.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
A long-only, 10-market, unlevered cut of a long/short 58-market vol-targeted strategy, so returns will be far from the paper.
Related
Other famous strategies
Closest strategies on Quant Arena
Similar idea, tested on the site's own rule set; not the same rule.
Markets used: S&P 500 · Gold · Silver · Oil · Natural gas · Commodities · Agriculture · EUR/USD · Bitcoin · Ether
Historical, hypothetical results before costs, taxes and fees. Not investment advice.