Composite Dual Momentum
Composite Dual Momentum allocates 25% each to four independent dual-momentum modules: equities, credit, real estate, and stress assets. Each module holds the relative winner only if it also beats T-bills over 12 months; otherwise that module goes to BIL.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Credit, REITs, Gold, Treasuries, Cash
- Backtest window: 2007-05-30 to 2026-11-10
- 1Y
- 3.5%
- 3Y
- 48.1%
- CAGR
- 12.1%
- Max DD
- -9.9%
- Sharpe
- 1.09
Methodology
- Run four 25% dual-momentum sleeves: SPY/EFA, LQD/HYG, VNQ/REM, and GLD/TLT.
- Each sleeve holds its 12-month relative winner only when that winner beats T-bills.
- Sleeves that fail absolute momentum hold BIL.
Source: Antonacci, G. Dual Momentum Investing. McGraw-Hill (2014).
Headline backtest performance as of 2026-11-10.