Gary Antonacci (2012 NAAIM winner) publishes a momentum index monthly, which has averaged 15% annually since 1984. [note however: bonds have been in a bull market throughout this period].
Macquarie has tested their adaptation of Antonacci’s momentum model:
Each month, the strategy rotates into the 2 best performing funds over the previous 6 months. Average annual returns since 2003 are above 20% (note these results are backtested).