The GEM Dual Momentum was developed by Gary Antonacii and outlined in his paper: Risk Premia Harvesting Through Dual Momentum.
He expands on this further in his book Dual Momentum: An Innovative Strategy for Higher Returns with Lower Risk.
The strategy uses relative and absolute momentum to determine which of three assets to hold.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
45% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
28% | AGG | iShares Core U.S. Aggregate Bond ETF | Bond, U.S., All-Term | |
27% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap |
This strategy holds one asset at a time.
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Low | Average | High | |
|---|---|---|---|
1-Year | -17.6% | 15.6% | 102.1% |
3-Year | -3.7% | 15.5% | 56.5% |
5-Year | 0.5% | 15.1% | 47.3% |
10-Year | 4.7% | 15.8% | 30.2% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 14.4% | 9.3% | 10.3% |
10Y Annual Return | 6.1% | 7.9% | 12.2% |
Sharpe Ratio | 0.79 | 0.51 | 0.43 |
Max Drawdown | -19.5% | -29.7% | -50.97% |
Volatility (annualized) | 12.6% | 9.9% | 15.4% |
Dot Com Annual Return | 4.2% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 4.9% | -0.3% | -5.66% |
Positive Periods | 67.5% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
