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 we license to advisors and family offices is to achieve highly consistent returns possible using all available momentum tools. These models are more adaptive to market conditions than our public model.
Like all our dual momentum models, the proprietary models are based on relative strength and trend. But they use enhanced parameter settings, additional assets, and sensible portfolio constraints.
The proprietary models have evolved over time. Here are our current dual momentum proprietary models:
Enhanced Global Equities Momentum (E-GEM)
E-GEM is an enhanced version of our book’s GEM model. E-GEM includes multiple criteria for deciding when to be in stocks or bonds and a broad selection of investable assets. E-GEM is for aggressive investors willing to accept the short-term volatility that comes from primarily stock market investing.
Enhanced Global Balanced Momentum (E-GBM)
E-GBM is a balanced allocation between stocks, bonds, and other assets. E-GBM is for investors with moderate risk tolerances. It is a general-purpose model suitable for those wanting less volatility than E-GEM.
Dual Momentum Fixed Income (DMFI)
Momentum works as well in the bond market as it does in the stock market. DMFI is dual momentum applied exclusively to the fixed income market. DMFI has shown equity-like returns with less volatility than intermediate-term bonds.
Slingshot Trading
Slingshot is a short-term counter-trend mean reversion model that exploits temporarily overbought and oversold market conditions in a wide variety of ETFs. It is used as an optional add-on strategy with our dual momentum models.
Performance
Here is the performance of our proprietary enhanced models compared to the public GEM model and a 60/40 balanced stock/bond portfolio. January 1970 is our starting date since that is as far back as reliable data goes for some of the assets used. Contact us for factsheets and additional information about our proprietary models.
Enhanced Dual Momentum Models – January 1970 through October 2020
| E-GEM | E-GBM | GEM | 60/40 | ||
| CAGR | 15.6 | 13.8 | 15.6 | 8.7 | |
| Standard Deviation | 8.7 | 7.2 | 12.5 | 9.9 | |
| Sharpe Ratio | 1.25 | 1.27 | 0.90 | 0.55 | |
| Worst Drawdown | -9.2 | -7.6 | -19.8 | -29.7 | |
| Months to Recover | 11 | 11 | 26 | 20 | |
| % of Up Months | 73 | 73 | 69 | 63 |
Results are not a guarantee of future success and do not represent returns that any investor actually attained. We have subtracted estimated slippage, transaction fees, and ETF management fees. You cannot invest directly in our models. Results do not represent actual fund or portfolio performance. Performance represents total returns and includes reinvestment of interest and dividends. CAGR is the compound annual growth rate. 60/40 is 60% S&P 500 Index and 40% ICE U.S. Treasury 7-10 Year Bond Index. Worst drawdown is on a cumulative month-end basis. Months to recover are from the worst drawdown trough to a new high peak. Future performance may differ significantly from historical performance. Please see the Disclaimer page for additional information.
