Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
GEM Dual Momentum
Details
The GEM Dual Momentum was developed by Gary Antonacii and outlined in his paper: Risk Premia Harvesting Through Dual Momentum.
He expands on this further in his book Dual Momentum: An Innovative Strategy for Higher Returns with Lower Risk.
The strategy uses relative and absolute momentum to determine which of three assets to hold.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
14.4%
Sharpe Ratio
0.79
10 Year Annual Return
6.1%
Volatility (annualized)
12.6%
Max Drawdown
-19.5%
Positive Periods
67.5%
Dot Com Annual Return
4.2%
Great Financial Crisis Return
4.9%
Trade Frequency
Monthly
Ulcer Performance Index
1.8
Strategy Rules
This strategy holds one asset at a time.
- On the last trading day of the month, calculate the 12-month total return of SPY, EFA, and BIL (short-term US treasuries).
- If the 12-month total return of SPY > BIL:
- Invest 100% in SPY if the 12-month return of SPY > EFA
- Invest 100% in EFA if the 12-month return of EFA > SPY
- If the 12-month total return of BIL > SPY, invest 100% in AGG.
- Hold the position until the last trading day of the next month.
How to Invest in the GEM Dual Momentum Portfolio
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