Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Diversified GEM Dual Momentum
Details
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.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
13.2%
Sharpe Ratio
0.76
10 Year Annual Return
6.3%
Volatility (annualized)
11.5%
Max Drawdown
-19.8%
Positive Periods
68.3%
Dot Com Annual Return
2.7%
Great Financial Crisis Return
8.6%
Trade Frequency
Monthly
Ulcer Performance Index
1.7
Strategy Rules
This strategy trades once per month.
- Split the portfolio into 7 equal slices.
- On the last trading day of the month, calculate the total return for each of the assets above for the last 6-months, 7-months, 8-months…continuing for each month until reaching the prior 12-months.
- For each of the 7 look-back periods, determine if the total return of SPY > AGG.
- If SPY > AGG, allocate that percentage of the portfolio to the greater of SPY or EFA.
- If SPY < AGG, allocate that percentage of the portfolio to AGG.
- Hold all positions until the last trading day of the next month.
How to Invest in the Diversified GEM Dual Momentum Portfolio
M1 Finance is the recommended platform to invest in this portfolio. Find out why.
