Accelerating Dual Momentum

Details

The Accelerating Dual Momentum strategy was developed by the site EngineeredPortfolio.com.

The portfolio uses a Dual Momentum approach to compare absolute and relative momentum.

The backtest time period is shorter than traditional dual momentum strategies. This makes the portfolio more responsive but also trades more often.

Average Asset Allocation & Recommended ETFs

Performance Metrics

Annual Return

14.4%

Sharpe Ratio

0.86

10 Year Annual Return

9.1%

Volatility (annualized)

14.0%

Max Drawdown

-25.8%

Positive Periods

65.8%

Dot Com Annual Return

0.0%

Great Financial Crisis Return

17.1%

Trade Frequency

Monthly

Strategy Rules

This strategy allocates 100% of of the portfolio to one asset each month.

On the last trading day of each month, calculate the “momentum score” for the S&P 500 (SPY) and the international small cap equities (SCZ). The momentum score is the average of the 1, 3, and 6-month total return for each asset.

If the momentum score of SCZ > SPY and is greater than 0, invest in SCZ.

If the momentum score of SPY > SCZ and is greater than 0, invest in SPY.

If neither momentum score is greater than 0, calculate the 1-month total return for long-term US Treasuries (TLT) and US TIPS (TIP). Invest in whichever has the higher return.

How to Invest in the Accelerating Dual Momentum Portfolio

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