MarketHeist Portfolio · Strategy

Time-Series Momentum — S&P 500

by Moskowitz, Ooi & Pedersen

Time-series (absolute) momentum: an asset that has risen over the past year tends to keep rising, and one that has fallen tends to keep falling. Going to cash while trailing returns are negative sidesteps the worst of sustained drawdowns — the effect Moskowitz, Ooi & Pedersen documented across dozens of markets.

CAGR 10.7%

Max Drawdown -19.4%

Sharpe 0.93

Based on

• Time Series Momentum — Moskowitz, Ooi & Pedersen, 2012 · Journal of Financial Economics

See the full, editable backtest — reproduce it, change the rules →