Diversified Dual Momentum
Diversified Dual Momentum divides capital equally across four relative-strength pods: US/ex-US equity, US/global bonds, REITs/commodities, and gold/long Treasuries. Each pod moves to BIL when its winner does not beat T-bills over 12 months.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Bonds, REITs, Commodities, Gold, Treasuries, Cash
- Backtest window: 2007-10-05 to 2026-09-21
- 1Y
- 21.8%
- 3Y
- 47.9%
- CAGR
- 13.5%
- Max DD
- -8.2%
- Sharpe
- 0.98
Methodology
- Run four 25% dual-momentum pods: SPY/VEU, AGG/BWX, VNQ/DBC, and GLD/TLT.
- Each pod holds its 12-month relative winner only when that winner beats T-bills.
- Pods that fail absolute momentum hold BIL.
Source: Antonacci, G. Dual Momentum Investing.
Headline backtest performance as of 2026-09-21.