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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
43% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
38% | SCZ | iShares MSCI EAFE Small-Cap ETF | Equity, International, Small Cap | |
13% | TLT | iShares 20+ Year Treasury Bond | Bond, U.S., Long-Term | |
6% | TIP | iShares TIPS Bond ETF | Bond, U.S., TIPS |
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Low | Average | High | |
|---|---|---|---|
1-Year | -24.2% | 15.9% | 84.0% |
3-Year | -0.5% | 15.9% | 42.7% |
5-Year | 2.7% | 15.9% | 30.8% |
10-Year | 8.8% | 16.1% | 23.3% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 14.4% | 9.3% | 10.3% |
10Y Annual Return | 9.1% | 7.9% | 12.2% |
Sharpe Ratio | 0.86 | 0.51 | 0.43 |
Max Drawdown | -25.8% | -29.7% | -50.97% |
Volatility (annualized) | 14.0% | 9.9% | 15.4% |
Dot Com Annual Return | 0.0% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 17.1% | -0.3% | -5.66% |
Positive Periods | 65.8% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
