We designed our public dual momentum model, GEM, to be simple and easy to use by do-it-yourself investors. Our proprietary model signals licensed to advisors and family offices have a different objective. They are set up to achieve more consistent returns using all worthwhile momentum tools. Our proprietary models add enhanced parameter settings, additional assets, and sensible portfolio constraints. These proprietary models are more adaptive to market conditions than our public models. Here are the current 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 wider selection of investable assets. E-GEM is for aggressive investors willing to accept the short-term volatility from primarily stock market investing.
Enhanced Global Balanced Momentum (E-GBM)
E-GBM is a more 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)
DMFI is the application of dual momentum exclusively to the fixed income market. Momentum works as well in the bond market as it does in the stock market. The DMFI model has had equity-like returns with less volatility than intermediate-term bonds.
Performance
Here is the proprietary models’ performance 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 more information about our proprietary models and how you can benefit from them.
Dual Momentum Models Performance – January 1970 through August 2020
| E-GEM | E-GBM | DMFI | GEM | 60/40 | |
| CAGR | 15.3 | 13.5 | 10.4 | 15.6 | 8.9 |
| Standard Deviation | 8.5 | 6.7 | 5.0 | 12.5 | 9.9 |
| Sharpe Ratio | 1.23 | 1.31 | 1.17 | 0.91 | 0.56 |
| Worst Drawdown | -8.6 | -7.5 | -7.5 | -19.8 | -29.7 |
| Months to Recover | 11 | 11 | 11 | 26 | 20 |
| % of Up Months | 73 | 75 | 82 | 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.
