We designed our public dual momentum model, GEM, to be simple and easy to use by do-it-yourself investors. GEM introduced dual momentum to the world.
The aim of our 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 can serve as the basis for core portfolios. They have their foundation in academic research supported by out-of-sample testing and real-time validation. Here are our most popular 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)
Dual momentum works well with fixed income. DMFI applies dual momentum only to the bond market. More conservative investors use DMFI on its own or combine it with other dual momentum models.
Advanced Global Equities Momentum (A-GEM)
A-GEM, includes stocks, bonds, and other assets. A-GEM incorporates daily, weekly, and monthly data.
NASDAQ Breadth and Trend (QBAT)
QBAT applies breadth, trend, and mean reversion to the ProShares Ultra QQQ ETF (QLD). QBAT’s most important component is breadth. When not invested in QLD, QBAT invests in the same ETFs as A-GEM using dual momentum.
QBAT is our most complete model. Since QBAT uses only daily data, it is also our most responsive model.
Here is the performance of our Enhanced Global Balanced Momentum (E-GBM) model compared with 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 assets.
E-GBM Model Performance Jan 1970 through Oct 2022
|% Up Months||75||68||63||63|