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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
22% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
12% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
12% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
11% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
10% | HYG | iShares iBoxx $ High Yield Corporate Bond ETF | Bond, U.S., Intermediate-Term | |
9% | GLD | SPDR Gold Trust | Commodity, Gold | |
9% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap | |
8% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
7% | REM | iShares Mortgage Real Estate ETF | Bond, U.S., Mortgage REITs |
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:
On the last trading day of each month:
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Low | Average | High | |
|---|---|---|---|
1-Year | -9.6% | 11.9% | 52.1% |
3-Year | -0.4% | 11.9% | 28.3% |
5-Year | 0.50% | 12.1% | 25.6% |
10-Year | 2.3% | 12.3% | 22.5% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 11.4% | 9.3% | 10.3% |
10Y Annual Return | 2.5% | 7.9% | 12.2% |
Sharpe Ratio | 0.82 | 0.51 | 0.43 |
Max Drawdown | -11.0% | -29.7% | -50.97% |
Volatility (annualized) | 8.2% | 9.9% | 15.4% |
Dot Com Annual Return | 11.1% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 3.9% | -0.3% | -5.66% |
Positive Periods | 71.4% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
