  We present a simple model that uses time series momentum in order to
construct strategies that systematically outperform their benchmark. The
simplicity of our model is elegant: We only require a benchmark time series and
several related investable indizes, not requiring regression or other models to
estimate our parameters. We find that our one size fits all approach delivers
significant outperformance in both equity and bond markets while meeting the
ex-ante risk requirements, nearly doubling yearly returns vs. the MSCI World
and Bloomberg Barclays Euro Aggregate Corporate Bond benchmarks in a long-only
backtest. We then combine both approaches into an absolute return strategy by
benchmarking vs. the Eonia Total Return Index and find significant
outperformance at a sharpe ratio of 1.8. Furthermore, we demonstrate that our
model delivers a benefit versus a static portfolio with fixed mean weights,
showing that timing of excess return momentum has a sizeable benefit vs. static
allocations. This also applies to the passively investable equity factors,
where we outperform a static factor exposure portfolio with statistical
significance. Also, we show that our model delivers an alpha after deducting
transaction costs.
