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 the most consistent returns possible using all available momentum tools.
Proprietary models are more adaptive to market conditions and often serve as core portfolio positions. These models have their foundation in academic research and are supported by out-of-sample testing and real-time validation. Here are examples of our 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. E-GEM is for investors willing to accept the short-term volatility that comes from investing in the stock market when trends are positive.
Enhanced Global Balanced Momentum (E-GBM)
E-GBM is a general-purpose model suitable for those wanting a little more diversification and 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.
Performance
Here is the performance of our most popular proprietary dual momentum models 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.
Other Proprietary Models
We also have low correlation diversifying models for short-term, counter-trend mean reversion trading, bitcoin, and high yield municipal bonds. Contact us for more information on our other proprietary models.
Enhanced Dual Momentum Models – January 1970 through September 2021
| E-GEM | E-GBM | GEM | 60/40 | S&P500 | ||
| CAGR | 17.0 | 16.0 | 15.9 | 9.7 | 10.9 | |
| Standard Deviation | 9.9 | 8.6 | 12.5 | 9.9 | 15.2 | |
| Sharpe Ratio | 1.22 | 1.29 | 0.93 | 0.57 | 0.49 | |
| Worst Drawdown | -9.0 | -7.0 | -19.6 | -29.7 | -51.0 | |
| Months to Recover | 12 | 12 | 26 | 20 | 41 | |
| % of Up Months | 72 | 74 | 69 | 63 | 64 |
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.
