Dual Momentum (Antonacci GEM) Backtest

Dual Momentum is a concentrated global tactical rotation strategy that seeks equity exposure when SPDR S&P 500 ETF Trust (SPY) momentum is above a Treasury-bill return hurdle, owns the stronger of U.S. and non-U.S. equities when that gate is open, and shifts to U.S. aggregate bonds when it is closed.

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Strategy summary

Dual Momentum is a global tactical allocation strategy built to pursue equity leadership while seeking defense from the premise that absolute and relative momentum can identify stronger risk regimes, using 12-month momentum across SPY, ACWX, and AGG.

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

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.

Further research

• BTS Methodology
• What Makes a Backtest Reliable?
• Why a Standardized Methodology Matters in Backtesting
• How to Choose the Right Benchmark
• Strategy Library