Global Equities Momentum
Gary Antonacci's Global Equities Momentum (GEM) — dual-momentum rotation between US and international equities with a bond fallback.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Bonds, Cash
- Backtest window: 2007-03-08 to 2026-11-10
- 1Y
- 12.9%
- 3Y
- 54.8%
- CAGR
- 13.6%
- Max DD
- -20.8%
- Sharpe
- 0.88
Methodology
- If SPY beats T-bills over 12 months and SPY beats VEU, hold SPY.
- If SPY beats T-bills over 12 months and VEU beats SPY, hold VEU.
- Otherwise hold AGG.
Source: Antonacci, G. (2012). Risk Premia Harvesting Through Dual Momentum.
Headline backtest performance as of 2026-11-10.