Accelerating Dual Momentum
Accelerating Dual Momentum (Engineered Portfolio): rank US equities (SPY) against international small-cap (SCZ) by average 1/3/6-month total return, hold the winner when its composite is positive, falling back to long Treasuries otherwise. Matches the canonical SPY/SCZ equity pair; the original rule picks the better of TLT/TIP as the safe leg, v1 uses TLT as a single-ticker proxy for that rule and documents the simplification.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Treasuries
- Backtest window: 2019-05-08 to 2026-08-06
- 1Y
- 13.8%
- 3Y
- 63.1%
- CAGR
- 6.9%
- Max DD
- -25.7%
- Sharpe
- 0.28
Methodology
- Average 1-, 3-, and 6-month total return for SPY vs SCZ.
- Hold the higher-composite winner.
- Fall back to TLT when no winner has a positive composite.
Source: EngineeredPortfolio (2018). Accelerating Dual Momentum (ADM)
Headline backtest performance as of 2026-08-06.