GEM Lookback Ensemble
Dual momentum run at every lookback from 1 to 12 months.
Holding now
Signal from Aug 2026 close- VEU58%
- SPY42%
- VEUIntl ex-US58.3%
- SPYS&P 50041.7%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
-0.1%
YTD
+11.2%
1Y
+15.2%
3Y
+17.8%
5Y
+8.9%
10Y
+8.9%
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
+9.8%
Volatility
12.5%
Max drawdown
-21.9%
Sharpe
0.68
Sortino
0.95
Calmar
0.45
Best year
+35.8%
Worst year
-17.8%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 67% 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
Instead of betting on the 12-month lookback, run GEM twelve times with lookbacks of 1 through 12 months and average the positions. The result changes gradually rather than flipping all at once, and no single parameter choice dominates.
The rules
- 1Run GEM with each lookback L = 1, 2, … 12 months.
- 2Hold the average of the twelve resulting positions.
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