We designed our public dual momentum model, GEM, to be simple and easy to use by do-it-yourself investors. Our book featuring GEM introduced dual momentum to the world. GEM was designed to help protect smaller investors from horrendous drawdowns while giving them a chance to earn better than market returns over the long run.
Dual momentum works best when it incorporates multiple trend determinants. There is a synergistic effect from doing. Many investors do not give enough importance to price trend. They think of it as an alternative deserving of only a minor allocation. But Greyserman & Kaminsky show that simple trends have outperformed buy-and-hold back to the beginnings of every market. No other investment factor can say that.
We aim to achieve high and consistent returns using all available investment tools. These models are the culmination of a lifetime of investment research and experience.
Our proprietary models are highly adaptive to market conditions and can serve as the basis for core portfolios. They have their foundation in academic research supported by out-of-sample and real-time validation.
Most investment approaches do not spend enough time on portfolio construction. Thoughtful portfolio structuring is an important part of optimal investing. We spend considerable time on due diligence to find the best ETFs for our models among several thousand available ones. We also developed multiple models that compliment each other to create optimal portfolios.
We license our proprietary model signals to substantial private investors and select investment advisors. Our models work best when they are used together due to their modest correlations. Using multiple models also reduces model estimation errors and uncertainties.
Broad-based Proprietary Models
These use multiple dual momentum modules to hold a variety of U.S. and non-U.S. stocks, bonds, commodities, managed futures, or gold.
Enhanced Global Equities Momentum (E-GBM)
E-GBM is our oldest and most diversified model. It uses a broad portfolio of potential assets and four modules that provide variations on dual momentum.
Dual Momentum Fixed Income (DMFI)
Dual momentum works as well with fixed income as it does with equities. DMFI is our simplest and oldest proprietary model. It applies dual momentum to the short and intermediate segments of the bond market. Since 1970, DMFI has had equity-like returns with the volatility of short-term bonds.
Besides its value as a stand-alone investment, DMFI is an attractive substitute for passive bonds in a stock-bond portfolio. Because of its low volatility and modest correlation to our more aggressive models, DMFI has considerable value as a portfolio diversifier.
Advanced Global Equities Momentum (A-GEM)
A-GEM focuses on various areas of the stock market but includes bonds and other assets when market conditions warrant. A-GEM adds market structure and intermarket relationships to dual momentum for determining trends. A-GEM uses daily and weekly data instead of just monthly returns. A-GEM has had twice the return and half the maximum drawdown of our public GEM model.
Focused Proprietary Models
These use the same exceptional trend identification system. Each model has different filtering that diversifies their methodologies.
Each model uses daily data and holds the same assets as A-GEM when not invested in its underlying asset. Combining these models creates all-weather portfolios responsive to different market conditions.
NASDAQ Broad Advanced Trend (QBAT)
QBAT applies trend and mean reversion to the ProShares Ultra QQQ ETF (QLD) when all conditions are favorable.
Gold Long Trend (GLTR)
GLTR apples trend to the GLD ETF. Gold is often mean reverting and not easy to trade. Our trend strategy handles gold well.
Blockchain Algorithmic Strategic Trend (BLAST)
BLAST applies the trend model to the BLOK ETF. This represents blockchain and digital technology. It can serve as a gentle proxy for Bitcoin. Blockchain also has a bright future on its own.
Performance
Here is the performance of our Enhanced Global Equities Momentum (E-GBM) model compared to our public GEM model, the S&P 500 index, and a balanced 60/40 portfolio.
E-GBM Model Performance – January 1970 through March 2024
E-GBM
GEM
S&P 500
60/40
CAGR
17.3
15.8
10.9
9.4
Standard Deviation
9.7
13.1
15.4
10.0
Sharpe Ratio
1.27
0.89
0.48
0.54
UPI
8.0
2.57
0.96
1.60
Worst Drawdown
-9.1
-26.2
-51.0
-32.5
Avg Drawdown
-1.2
-3.8
-7.5
-3.3
% Up Months
74
70
63
65
Results are not a guarantee of future success and do not represent returns that any investor attained. We have subtracted estimated transaction fees, slippage, and fund management fees. 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. The worst drawdown is on a cumulative month-end basis. UPI is the Ulcer Performance Index which divides return by the Ulcer Index. The Ulcer Index measures the depth and duration of drawdowns from earlier highs. Please see the Disclaimer at the end of this document for additional information.
Here is the performance of our Dual Momentum Fixed Income (DMFI) model compared to Aggregate Bonds, 3-10 Year Treasury Bonds, the S&P 500 index, and a Balanced 60/40% stock/bond portfolio.
DMFI Model Performance – January 1970 through March 2024
DMFI
AGG
3-10 YR
S&P 500
Balanced
CAGR
9.6
6.8
6.5
10.8
9.6
Standard Deviation
5.1
5.4
5.4
15.4
10.2
Sharpe Ratio
0.94
0.38
0.35
0.45
0.51
UPI
6.82
2.19
2.25
0.95
1.73
Worst Drawdown
-5.7
-17.2
-15.0
-51.0
-29.7
Avg Drawdown
-0.8
-1.4
-1.4
-7.5
-3.2
% Up Months
79
67
66
63
64
Results do not guarantee future success and do not represent returns that any investor attained. You cannot invest directly in our models. AGG is the Bloomberg Barclays U.S. Aggregate Bond Index from its starting date of July 1983 and the Ibbotson 5-Year U.S. Government Bond Index before that. 10 YR is the ICE U.S. Treasury 7-10-Year Bond Index. Balanced is 60% S&P 500 Index and 40% ICE U.S. Treasury 7-10-Year Bond Index. CAGR is the compound annual growth rate. Drawdowns are on a month-end basis. UPI is the Ulcer Performance Index which divides return by the Ulcer Index. The Ulcer Index measures the depth and duration of drawdowns from earlier highs. Please see the Disclaimer page for additional information.
Dual Momentum Fixed Income January 1970 – March 2024
Historical data and analysis should not be taken as an indication or guarantee of future performance. Performance does not represent actual fund or portfolio performance. Performance includes reinvestment of interest and dividends. CAGR is the compound annual growth rate. Balanced is 60% S&P 500 Index and 40% ICE U.S. Treasury 7-10 Year Bond Index. The worst drawdown is on a cumulative month-end basis. UPI is the Ulcer Performance Index which divides return by the Ulcer Index. The Ulcer Index measures the depth and duration of drawdowns from earlier highs. Please see the Disclaimer page for more information.
Here are the results of the current version of our A-GEM model compared to the S&P 500, a 70%/30% balanced stock/bond portfolio, our DMFI model, and our public Global Equities Momentum (GEM) model. We also show allocations of 50/50% to A-GEM and E-GBM and 70/30% to A-GEM and DMFI. Results began in January 1999 due to limited daily data before then. We have extended ETF data with associated index data when necessary.
A-GEM and DMFI Model Performances – January 1999 through March 2024
S&P500
BALANCED
GEM
DMFI
AGEM
50/50
70/30
CAGR
7.4
6.0
9.2
9.0
19.4
16.5
16.0
STD DEV
16.7
11.5
11.7
5.7
11.9
9.6
9.2
SHARPE
0.51
0.62
0.80
1.52
1.55
1.63
1.65
UPI
0.55
0.94
1.31
5.33
6.95
7.99
7.95
MAX DD
-52.9
-32.5
-19.6
-5.4
-11.0
-7.6
-8.3
AVG DD
-10.6
-4.5
-4.9
-1.0
-1.5
-1.2
-1.1
% UP MOS
61
64
65
73
70
70
71
Results are not a guarantee of future success and do not represent returns that any investor actually attained. Performance includes reinvestment of interest and dividends. CAGR is the compound annual growth rate. We have estimated transaction costs at 0.1% per trade. Balanced is 60% S&P 500 Index and 40% ICE U.S. Treasury 7-10-Year Bond Index.Maximum drawdown is on a cumulative month-end basis. UPI is the Ulcer Performance Index which divides return by the Ulcer Index. The Ulcer Index measures the depth and duration of drawdowns from earlier highs. Please see our Disclaimer page for more information.
We can combine QBAT with DMFI to create a “barbell approach” of non-correlated low and high-volatility strategies. Here are the back-tested results from July 2006 with 50%/50%, 60%/40%, 70%/30%, and 80%/20% in DMFI and QBAT, respectively. Since QBAT is invested the same as A-GEM when it is not in QLD, these allocations are an amalgamation of three different models.
QBAT and DMFI Model Performances – July 2006 through March 2024
QQQ
DMFI
QBAT
50/50
60/40
70/30
80/20
CAGR
15.6
9.7
41.3
24.5
21.2
18.0
14.7
STD DEV
19.4
5.0
24.2
13.4
11.3
9.4
7.5
SHARPE
0.85
1.62
1.56
1.71
1.76
1.82
1.87
UPI
1.33
6.38
7.45
8.30
8.60
8.93
9.12
MAX DD
-50.2
-4.2
-19.5
-10.8
-9.0
-7.2
-5.5
AVG DD
-7.1
-0.7
-3.5
-1.7
-1.4
-1.1
-0.8
W%MOS
66
74
72
74
74
74
75
Results are not a guarantee of future success and do not represent returns that any investor actually attained. Performance includes reinvestment of interest and dividends. CAGR is the compound annual growth rate. Maximum drawdown is on a cumulative month-end basis. UPI is the Ulcer Performance Index which divides return by the Ulcer Index. The Ulcer Index measures the depth and duration of drawdowns from earlier highs. Leveraged ETFs have high risk and extreme volatility. Please see our Disclaimer page for more information.
QBAT, DMFI, and GLTR Model Performances – July 2006 through March 2024
Here are the results since QLD started trading in August 2006. Sample portfolio allocations are 50/25/25% and 34/33/33% DMFI, QBAT, and GLTR respectively. The use of multiple models can reduce estimation risk and model uncertainty.
S&P500
AGEM
DMFI
GLTR
QBAT
50/25/25
34/33/33
CAGR
10.4
18.9
9.7
19.1
41.3
19.3
22.9
STD DEV
17.6
12.3
5.0
14.9
24.2
9.8
11.8
SHARPE
0.65
1.47
1.62
1.25
1.56
1.86
1.81
UPI
0.90
6.31
6.38
5.49
7.45
11.40
10.96
MAX DD
-52.9
-11.0
-4.2
-13.7
-19.5
-7.3
-9.1
AVG DD
-7.3
-1.7
-0.7
-2.2
-3.5
-0.9
-1.1
W% MOS
66
69
74
64
72
73
74
s
Results do not guarantee future success and do not represent returns that any investor attained. You cannot invest directly in our models. CAGR is the compound annual growth rate. Drawdowns are on a month-end basis. UPI is the Ulcer Performance Index which divides return by the Ulcer Index. The Ulcer Index measures the depth and duration of drawdowns from earlier highs. Please see the Disclaimer page for additional information
BLAST and Other Model Performances – January 2018 – March 2024
Here is the performance of DMFI, QBAT, GLTR, and BLAST along with some possible allocations to these models in that order since BLAST began. Two of the models have high expected returns and high volatility. Two have lower expected returns and lower volatility. Their combinations create a desirable “barbell effect”.
DMFI
QBAT
GLTR
AGEM
BLAST
40/20/20/20
30/30/20/20
25/25/25/25
CAGR
5.0
41.8
16.6
13.0
48.4
23.0
26.9
27.8
STD DEV
3.9
24.4
12.7
11.2
24.2
11.0
12.7
13.1
SHARPE
1.28
1.57
1.27
1.16
1.77
1.94
1.94
1.96
UPI
4.57
7.10
5.14
3.45
16.17
12.14
11.52
12.45
MAX DD
-3.2
-19.5
-9.1
-11.0
-9.0
-7.5
-9.3
-8.9
AVG DD
-0.7
-4.0
-2.1
-2.4
-1.8
-1.0
-1.1
-1.1
W%MOS
73
73
68
65
72
76
79
77
Results do not guarantee future success and do not represent returns that any investor attained. You cannot invest directly in our models. CAGR is the compound annual growth rate. Drawdowns are on a month-end basis. UPI is the Ulcer Performance Index which divides return by the Ulcer Index. The Ulcer Index measures the depth and duration of drawdowns from earlier highs. Please see the Disclaimer page for additional information.
Please contact us for fact sheets and additional information on our proprietary models.
