GEM Dual Momentum
The GEM Dual Momentum portfolio is Gary Antonacci's original Global Equity Momentum strategy, introduced in his 2012 paper Risk Premia Harvesting Through Dual Momentum -- winner of the NAAIM Founders Award for advances in active investment management -- and later expanded in his book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk (McGraw-Hill, 2014). The strategy applies two forms of momentum to just three assets: US stocks, international stocks, and US bonds, and holds only one at a time.
Average Allocation
Based on historical average weights across all rebalance periods.
Performance Snapshot
Rolling Returns
| Period | Low | Average | High |
|---|---|---|---|
| 1 Year | -17.6% | +15.5% | +102.1% |
| 3 Year | -3.7% | +14.7% | +56.5% |
| 5 Year | +0.5% | +14.7% | +47.3% |
| 10 Year | +4.7% | +15.2% | +30.2% |
Growth of $10,000
Historical Drawdown
Percentage decline from the portfolio's peak value at each point in time.
Rolling Returns
Annualised return for each rolling period ending on that date.
Annualised return for each 1Y period ending on that date.
Investment Philosophy
Dual momentum combines relative momentum and absolute momentum. Each month, the strategy first applies an absolute momentum check: if US stocks have underperformed Treasury bills over the trailing 12 months, the entire portfolio moves to bonds -- regardless of how international stocks are performing. If US stocks pass that test, relative momentum determines which equity market gets the allocation: whichever of US stocks or international stocks has the stronger 12-month return wins 100% of the portfolio. The absolute momentum filter is the strategy's most important feature -- it is designed to reduce equity exposure during sustained downturns, not just relative underperformance.
Who It's For
This portfolio suits investors comfortable with a trend-following, rules-based approach that results in 100% allocation to a single asset at all times. It requires the discipline to follow signals mechanically, including periods when the strategy sits in bonds while equities recover. A medium-to-long time horizon is necessary to allow the strategy to demonstrate its advantage over full market cycles.
Pros
- Absolute momentum filter has historically reduced equity exposure during major bear markets
- Simple three-asset structure is easy to understand and implement
- Backed by peer-reviewed academic research and a well-documented out-of-sample track record
- Avoids the complexity of multi-asset switching strategies
Cons
- 100% concentration in a single asset at all times -- no within-portfolio diversification
- Can lag significantly during rapid V-shaped recoveries where the momentum signal is slow to re-enter equities
- 12-month lookback makes the strategy relatively slow to respond to trend changes
- Generates taxable events on every switch in taxable accounts
Technical Notes
Signals are evaluated monthly on the last trading day. The 12-month lookback was chosen for its strong out-of-sample evidence and relative tax efficiency compared to shorter windows. For a multi-asset extension of this framework that applies the same dual momentum logic across four independent modules, see the Diversified GEM portfolio.
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