Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Composite Dual Momentum
Details
Using Gary Antonacci’s Dual Momentum model and based on his paper: Risk Premia Harvesting Through Dual Momentum, the Composite Dual Momentum portfolio is similar to the Permanent Portfolio.
However, each 25% slice of the pie is adjusted monthly based on both absolute (a.k.a time-series) and relative (a.k.a cross-sectional) momentum.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
11.4%
Sharpe Ratio
0.82
10 Year Annual Return
2.5%
Volatility (annualized)
8.2%
Max Drawdown
-11.0%
Positive Periods
71.4%
Dot Com Annual Return
11.1%
Great Financial Crisis Return
3.9%
Trade Frequency
Monthly
Ulcer Performance Index
2.2
Strategy Rules
The portfolio is broken down into four equal-weighted slices of 25%. The funds in each slice are broadly based on components of the market: equities, bonds, real estate, and a “stress” category that typically reacts positively in a weak economy.
Each slice of the pie is made up of one of two ETFs:
- Equities: US Large Cap Index (SPY) and International Equities (EFA)
- Bonds: High Yield Bonds (HYG) and US Corporate Bonds (LQD)
- Real Estate: REITs (VNQ) and US Mortgage REITs (REM)
- Stress: Gold (GLD) and Long Term US Treasuries (TLT)
On the last trading day of each month:
- Calculate the 12-month return of each of the eight asset classes above and Short Term US Treasuries (BIL)
- For each slice, invest in the asset with the highest 12-month return as long as it is greater than the 12-month return of BIL.
- Scenario 1: if the 12-month return of EFA is greater than SPY and BIL, invest 25% of the portfolio in EFA.
- Scenario 2: if the 12-month return of HYG is greater than LQD but lower than BIL, invest 25% of the portfolio in cash.
- Hold all positions until the last final trading day of the next month. Rebalance the portfolio monthly regardless of whether positions have been changed.
How to Invest in the Composite Dual Momentum Portfolio
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