Dual Momentum (Antonacci GEM) Backtest

Strategy summary

Dual Momentum (Antonacci GEM) is a dual-momentum strategy that combines absolute and relative momentum across SPY, ACWX, and AGG. Using a 12-month lookback, it tests SPY against the Treasury-bill return hurdle, holds the stronger of SPY or ACWX when the equity gate is open, and shifts to AGG when it is closed.

This backtest isolates whether the dual-momentum decision process added value versus holding the same broad sleeves passively at Antonacci’s Global Asset Allocation weights. SPY, ACWX, and AGG serve as the tradable sleeves; the 3-month Treasury constant-maturity rate source is used only to derive the Treasury-bill return hurdle.

What this strategy is not

• Not a diversified always-invested equity allocation; it can move entirely to aggregate bonds when the absolute momentum gate is closed.
• Not a generic 12-1 cross-sectional momentum sort; it uses a 12-month month-end lookback without skipping the most recent month.
• Not a cash-timing system; the Treasury-bill return hurdle defines the signal threshold, but the defensive holding is U.S. aggregate bonds.
• Instead: a monthly rules-based GEM rotation that uses absolute momentum to decide whether to take equity risk and relative momentum to choose U.S. or non-U.S. equities when the equity gate is open.

Report summary

Item	Value
Strategy	Dual Momentum (Antonacci GEM)
Category	Tactical allocation / Dual momentum
Universe	SPY, ACWX, AGG; Treasury-bill return hurdle used as a signal input only
Trade Direction	Long-only allocation
Free Preview Window	2021–2025 (5 years); BTS uses the five most recent whole calendar years for free previews.
Full Backtest Period	2010–2025 (16 years); BTS uses the longest supported whole-calendar-year window available under the strategy universe, required instrument history, indicator warm-up, and methodology rules.
Window Start Rule	The analysis range includes the 12/31/2009 month-end opening-state calculation; reported results use the full calendar years 2010–2025 after SPY, ACWX, AGG, and the Treasury-bill return-hurdle history are live.
Starting Capital	$10,000
Primary Benchmark	Global Asset Allocation benchmark: 45% SPY, 28% ACWX, and 27% AGG, rebalanced monthly.
Methodology Version	BTS-3377
Publication Date	May 18, 2026
Source / Credit	Gary Antonacci, Global Equities Momentum; Optimal Momentum

Benchmark summary

The primary benchmark is Antonacci’s Global Asset Allocation control portfolio represented by 45% SPY, 28% ACWX, and 27% AGG, rebalanced monthly. It preserves the same broad U.S. equity, non-U.S. equity, and U.S. aggregate bond opportunity set, but removes the active overlay: the absolute momentum gate, the relative momentum choice, and the conditional defensive routing. That makes the remaining gap a test of the strategy’s timing and selection decisions rather than a comparison against an unrelated market proxy.

For the benchmark-selection framework, see How to Choose the Right Benchmark.

• Primary Benchmark: Antonacci’s Global Asset Allocation control portfolio represented by 45% SPY, 28% ACWX, and 27% AGG, rebalanced monthly.
• Preserves: the same broad U.S. equity, non-U.S. equity, and U.S. aggregate bond opportunity set.
• Removes: the absolute momentum gate, the relative momentum choice, and the conditional defensive routing.
• Excludes: SPY-only, EFA-based, cash/T-bill, and U.S.-centric 60/40 substitutes.

Key metrics: 2021–2025 free preview

• The free preview is a recent-window orientation tool, not the complete evidence set.
• A five-year free-preview window can be useful, but it can also overstate or understate the full historical tradeoff.
• The full report expands the scorecard across the complete report window and adds the path-level interpretation behind the headline numbers.

In this five-year free preview, Dual Momentum outpaced the benchmark on CAGR and ending capital, with a slightly smaller maximum drawdown but higher volatility. The full report is needed because the complete 2010–2025 window reverses that recent-window headline.

Category	Metric	Strategy	Benchmark
Activity	Time in Market	100.0%	100.0%
Activity	Trades per Year	5.6	36.0
Activity	Win Rate	50.0%	94.7%
Risk	Volatility	14.1%	12.0%
Risk	Max Drawdown	-21.1%	-22.8%
Risk	Sharpe Ratio	0.8	0.7
Risk	Calmar Ratio	0.5	0.4
Result	CAGR	10.6%	8.6%
Result	Ending Capital	$16,529	$15,075