The Diversified GEM Dual Momentum strategy was developed by the team at Newfound Research and profiled in their case study: Fragility Case Study: GEM Dual Momentum.
It uses GEM Dual Momentum but divides the portfolio into seven different slices, each following their own model with different look-back periods.
The goal is to reduce luck and risk that is involved by having only one 12-month look-back period with GEM Dual Momentum.
This strategy trades once per month.
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Low | Average | High | |
|---|---|---|---|
1-Year | -17.5% | 14.2% | 98.0% |
3-Year | -0.3% | 13.7% | 55.0% |
5-Year | 1.3% | 13.8% | 43.3% |
10-Year | 4.1% | 14.3% | 26.9% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 13.2% | 9.3% | 10.3% |
10Y Annual Return | 6.3% | 7.9% | 12.2% |
Sharpe Ratio | 0.76 | 0.51 | 0.43 |
Max Drawdown | -19.8% | -29.7% | -50.97% |
Volatility (annualized) | 11.5% | 9.9% | 15.4% |
Dot Com Annual Return | 2.7% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 8.6% | -0.3% | -5.66% |
Positive Periods | 68.3% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
