MarketHeist Portfolio · Strategy

Dual Momentum (GEM)

by Gary Antonacci

Combines relative momentum (own the stronger equity market) with absolute momentum (step aside to bonds when equities are falling). The bond leg wins the ranking only when both equity legs are negative, which is the crash-avoidance switch that drove the strategy's historically strong risk-adjusted returns.

CAGR 7.2%

Max Drawdown -27.4%

Sharpe 0.64

Based on

• Dual Momentum Investing — Gary Antonacci, 2014 · McGraw-Hill
• Risk Premia Harvesting Through Dual Momentum — Gary Antonacci, 2013 · SSRN

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