Time-Series Momentum (TSMOM): 12-Month Absolute Trend Following Rules [2026]
Date Published
1. The Academic Foundations of TSMOM
Moskowitz, Ooi, and Pedersen (2012) Empirical Framework
In their groundbreaking 2012 paper 'Time Series Momentum', Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen documented that an asset's past 12-month return positively predicts its future return across virtually every liquid asset class on Earth.
2. Multi-Asset Macro Universe & Volatility Parameters
Equities, Fixed Income, Foreign Exchange & Commodities
Below are the 4 macro asset pillars and typical annualized volatilities utilized in institutional TSMOM models.
Macro Pillar | Representative Futures | Liquid ETF Proxies | Average Annual Volatility | Target Risk Weight Equity Indices | S&P 500 (/ES), Nasdaq (/NQ), DAX | SPY, QQQ, EFA | 16.5% | 25% Risk Budget Fixed Income | 10Y Note (/ZN), 30Y Bond (/ZB), Bund | IEF, TLT, BND | 8.2% | 25% Risk Budget Currencies | Euro FX (/6E), Yen (/6J), Pound (/6B) | FXE, FXY, UUP | 10.4% | 25% Risk Budget Commodities | Crude Oil (/CL), Gold (/GC), Copper | USO, GLD, DBC | 28.6% | 25% Risk Budget
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