We designed our public dual momentum model, GEM, to be simple and easy to use by do-it-yourself investors. The objective of the proprietary models is to achieve the most consistent returns possible using all available momentum tools. We license our proprietary model signals to substantial private investors and a few select advisors who use them to manage public accounts.
Proprietary models strive to be highly adaptive to market conditions and often serve as the basis for core portfolios. They have their foundation in academic research and are supported by out-of-sample testing and real-time validation. Here are our core proprietary models:
Enhanced Global Balanced Momentum (E-GBM)
E-GBM is a balanced allocation between stocks, bonds, and other assets. It is a general-purpose model suitable for most investors. At the end of 2021, we merged E-GBM with our Enhanced Global Equities Momentum (E-GEM) model.
Dual Momentum Fixed Income (DMFI)
DMFI applies dual momentum to the bond market. It can be used on its own, or it can be combined with our other dual momentum models for conservative investors.
Snap Back is a short-term mean-reversion model designed to take advantage of ETFs that become greatly overbought or oversold. Snap Back is a great complement to our dual momentum trend-following models.
Advanced Global Equities Momentum (A-GEM)
A-GEM is our most aggressive dual momentum model. It uses daily, weekly, and monthly data making it also our most responsive model. A-GEM and E-GBM are not highly correlated and complement each other.
Fact sheets are available on all our proprietary models. Contact us for more information.
Here is the performance of our Enhanced Global Balanced Momentum (E-GBM) model compared to our public GEM model, a 60/40 balanced stock/bond portfolio, and the S&P 500 index. January 1970 is the starting date since that is as far back as reliable data goes for some of the assets used.
E-GBM Model Performance – Jan 1970 through Apr 2022
|% of Up Months||74||68||64||63|