Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
GEM + Emerging Markets Dual Momentum
Details
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.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
12.1%
Sharpe Ratio
0.72
10 Year Annual Return
5.6%
Volatility (annualized)
14.6%
Max Drawdown
-22.2%
Positive Periods
65.9%
Dot Com Annual Return
-1.4%
Great Financial Crisis Return
13.2%
Trade Frequency
Monthly
Ulcer Performance Index
1.2
Strategy Rules
This strategy holds one asset at a time.
- On the last trading day of the month, calculate the 12-month total return of SPY, EFA, EEM, and BIL (short-term US treasuries).
- If the 12-month total return of SPY > BIL:
- Invest 100% in SPY if the 12-month return of SPY is greater than EFA and EEM
- Invest 100% in EFA if the 12-month return of EFA is greater than SPY and EEM
- Invest 100% in EEM if the 12-month return of EEM is greater than SPY and EFA
- If the 12-month total return of BIL > SPY, invest 100% in AGG.
- Hold the position until the last trading day of the next month.
How to Invest in the GEM + Emerging Markets Dual Momentum Portfolio
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