Accelerating Dual Momentum
Each month, hold SPY or SCZ, whichever has the stronger average one-, three-, and six-month return. If neither has positive momentum, hold TLT. The published rule instead chooses between TLT and TIP for that defensive position.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Treasuries
- Backtest window: 2019-05-08 to 2026-11-10
- 1Y
- 9.9%
- 3Y
- 48.0%
- CAGR
- 13.0%
- Max DD
- -15.7%
- Sharpe
- 0.95
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 2026-11-10.