The GEM + Emerging Markets Dual Momentum strategy is the same as the traditional GEM Dual Momentum but adds a fourth index to the mix: Emerging Markets.
This adds a more volatile market to the strategy with the expectation of greater returns.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
43% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
32% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
21% | AGG | iShares Core U.S. Aggregate Bond ETF | Bond, U.S., All-Term | |
4% | 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 | -20.4% | 13.1% | 60.8% |
3-Year | -1.4% | 12.3% | 41.2% |
5-Year | 0.9% | 12.0% | 32.2% |
10-Year | 4.6% | 12.6% | 21.5% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 12.1% | 9.3% | 10.3% |
10Y Annual Return | 5.6% | 7.9% | 12.2% |
Sharpe Ratio | 0.72 | 0.51 | 0.43 |
Max Drawdown | -22.2% | -29.7% | -50.97% |
Volatility (annualized) | 14.6% | 9.9% | 15.4% |
Dot Com Annual Return | -1.4% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 13.2% | -0.3% | -5.66% |
Positive Periods | 65.9% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
