Cross-asset momentum 12-1 · long/short 16 ETFs (after Asness, Moskowitz & Pedersen 2013)
Same cross-asset 12-1 momentum, long the top 4 and short the bottom 4 ETFs so the market exposure nets out; the paper reports momentum premia in every asset class. Falsified if the long/short spread is not positive.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 1.61% | 4.56% |
| Volatility | 11.34% | 12.83% |
| Sharpe | 0.20 | 0.41 |
| Max drawdown | -36.11% | -40.67% |
| Turnover (per year) | 2.86 |
Deflated Sharpe: 0.04 (n trials: 218) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long_short",
"signal": {
"expr": "rank(ret(252) - ret(21))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 4,
"universe": [
"SPY",
"QQQ",
"IWM",
"EFA",
"EEM",
"TLT",
"IEF",
"LQD",
"HYG",
"GLD",
"VNQ",
"TIP",
"AGG",
"EWJ",
"EWZ",
"FXI"
]
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/cross-asset-momentum-12-1-long-short-16-etfs-after-asness-mo-0639ad/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy cross-asset-momentum-12-1-long-short-16-etfs-after-asness-mo-0639ad and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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