G

Global Equity Momentum

ActiveModerate Risk

updateRebalanced: N/AAuthor: Gary Antonacci

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CAGR

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14.0%

Compound Annual Growth Rate

Max Drawdown

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-16.3%

Worst peak-to-trough decline

Sharpe Ratio

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0.74

Risk-adjusted return metric

Win Rate

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68%

Percentage of positive months

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Allocation Locked

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Strategy Methodology

Global Equity Momentum (GEM) applies the "Dual Momentum" concept—combining relative strength and absolute momentum—to switch between US stocks, International stocks, or Aggregate Bonds.

  • check_circleRelative Momentum: Each month, GEM compares the 12-month return of US Stocks (SPY) vs International Stocks (VEU).
  • check_circleAbsolute Momentum: The winner is compared against the risk-free rate (T-Bills). If the winner's trend is negative, GEM moves to safety.
  • check_circleExecution: The strategy holds a single asset (100% allocation) for the entire month to minimize trading costs and complexity.
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Academic Backing

Popularized by Gary Antonacci in his award-winning book "Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk" (2014). It empirically demonstrates that combining relative and absolute momentum significantly improves risk-adjusted returns.

Parameters

Lookback Period

12 Months

Top Assets Selected

1 Asset (Winner Takes All)

Crash Protection

Yes (Absolute Momentum)

Asset Universe Size

3 ETFs (SPY, VEU, AGG)

Monthly Rebalancing Process

3-Step Execution
Step 1: The Contest
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Relative Momentum

Is US (SPY) > Int'l (VEU)?

Decision Path DiagramWinner: SPYWinner: VEU
Step 2
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Absolute Momentum Check

Is the Winner's return > T-Bills (Risk Free)?

Absolute Momentum Check Flow DiagramYESNO
Bull Market
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Invest in Winner

Allocate 100% to the winning Equity ETF (SPY or VEU).

Bear Market
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Invest in Safety

Allocate 100% to Aggregate Bonds (AGG).

STEP 1

Relative Momentum

We compare the performance of US Stocks versus International Stocks over the last 12 months.

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US Stocks (SPY)

S&P 500 Index

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Int'l Stocks (VEU)

All-World ex-US

* The asset with the higher return over the past 12 months is selected as the "Winner".

STEP 2

Absolute Momentum

We validate the winner. Is the winner actually performing well, or just "less bad" than the loser?

The Cash Benchmark

We compare the Winner's 12-month return against the return of Risk-Free T-Bills (BIL).

Passes Check

Winner > T-Bills

Market is trending up. Stay Invested.

Fails Check

Winner < T-Bills

Market is trending down. Go to Bonds.

STEP 3

Final Allocation

Based on the check in Step 2, we allocate 100% of the portfolio to a single asset for the month.

Scenario A
Growth
100% SPY

or 100% VEU

Scenario B
Safety
100% AGG

Aggregate Bonds

Recent Monthly Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2026+5.21%+0.00%----------+5.21%
2025+2.69%-1.71%-5.57%-0.20%+6.28%+3.80%-0.92%+2.53%+3.41%+1.81%-0.71%+2.56%+14.28%
2024+1.59%+3.42%+3.64%-4.03%+5.06%+3.05%+1.21%+4.00%+2.10%-0.89%+3.57%-2.41%+21.81%