Managed-futures trend · 12-month · 23 futures ETFs (after Hurst, Ooi & Pedersen 2017, AQR)
'A Century of Evidence on Trend-Following Investing' found 12-month time-series momentum across equity, bond, commodity and currency futures worked in every decade since 1880. Approximation: futures-based ETFs, long-only, holding every market with a positive 12-month return. Falsified if it does not cut drawdowns versus an equal-weight mix.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 3.25% | 2.12% |
| Volatility | 11.76% | 11.14% |
| Sharpe | 0.33 | 0.24 |
| Max drawdown | -34.50% | -42.33% |
| Turnover (per year) | 2.18 |
Deflated Sharpe: 0.00 (n trials: 353) — 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",
"signal": {
"expr": "where(ret(252), ret(252), log(-1))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 23,
"universe": [
"SPY",
"EFA",
"EEM",
"TLT",
"IEF",
"SHY",
"GLD",
"SLV",
"CPER",
"PALL",
"PPLT",
"USO",
"BNO",
"UGA",
"UNG",
"DBA",
"CORN",
"WEAT",
"SOYB",
"DBC",
"UUP",
"FXE",
"FXY"
]
}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/managed-futures-trend-12-month-23-futures-etfs-after-hurst-o-53620d/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 managed-futures-trend-12-month-23-futures-etfs-after-hurst-o-53620d and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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