Global Equities Momentum
US or international stocks when stocks beat T-bills; else bonds.
Holding now
Signal from Aug 2026 close- VEU100%
- VEUIntl ex-US100.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
-0.8%
YTD
+15.7%
1Y
+22.4%
3Y
+23.2%
5Y
+11.2%
10Y
+9.7%
Growth of $100
Backtest from Aug 1, 2002 to Sep 25, 2026 (24.0 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
+10.6%
Volatility
15.6%
Max drawdown
-33.7%
Sharpe
0.62
Sortino
0.87
Calmar
0.31
Best year
+29.9%
Worst year
-17.2%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 65% 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
Antonacci's dual momentum model. Absolute momentum asks whether US stocks beat T-bills over 12 months; if so, relative momentum picks the stronger of US and international stocks. If not, the whole portfolio moves to aggregate bonds.
The rules
- 1If SPY's 12-month return beats T-bills', hold the stronger of SPY and VEU by 12-month return.
- 2Otherwise hold aggregate bonds.
Funds used
- BIL T-Bills
- BND US Aggregate Bonds
- SPY S&P 500
- VEU Intl ex-US
Early history uses proxy funds: AGG, EFA, IEF, 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.
Accelerating Dual Momentum
EngineeredPortfolio
Faster dual momentum on 1, 3 and 6-month returns.
Sector Rotation
Relative strength classic
The three strongest SPDR sectors, each with a trend filter.