Accelerating Dual Momentum
Faster dual momentum on 1, 3 and 6-month returns.
Holding now
Signal from Aug 2026 close- SPY100%
- SPYS&P 500100.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.8%
YTD
+6.3%
1Y
+9.1%
3Y
+17.4%
5Y
+8.2%
10Y
+12.9%
Growth of $100
Backtest from Apr 1, 2002 to Sep 25, 2026 (24.4 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+12.5%
Volatility
16.3%
Max drawdown
-31.7%
Sharpe
0.71
Sortino
1.01
Calmar
0.39
Best year
+47.2%
Worst year
-22.7%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 64% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
Scores the S&P 500 and international small caps on the sum of their 1, 3 and 6-month returns, which reacts faster at turning points than a single 12-month lookback. When both scores are negative it retreats to long Treasuries.
The rules
- 1Score = 1 + 3 + 6-month return for SPY and SCZ.
- 2Hold the higher-scoring fund if its score is positive; otherwise hold TLT.
Funds used
- SCZ Intl Small Cap
- SPY S&P 500
- TLT 20+Y Treasuries
Early history uses proxy funds: EFA, SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025
More relative momentum
GTAA Aggressive (Top 3 of 13)
Mebane Faber
The three strongest of 13 asset classes, each with a trend filter.
Global Equities Momentum
Gary Antonacci
US or international stocks when stocks beat T-bills; else bonds.
Sector Rotation
Relative strength classic
The three strongest SPDR sectors, each with a trend filter.