GEM + Emerging Markets Dual Momentum
The GEM Emerging Markets Dual Momentum portfolio is a community-developed variant of Gary Antonacci's Global Equity Momentum (GEM) framework that gives emerging market equities their own independent slot in the momentum competition. Rather than folding developed and emerging international markets into a single broad index, this version splits the international allocation into two distinct choices -- developed markets and emerging markets -- and lets all three equity options compete head-to-head each month alongside the absolute momentum safety valve.
Average Allocation
Based on historical average weights across all rebalance periods.
Performance Snapshot
Rolling Returns
| Period | Low | Average | High |
|---|---|---|---|
| 1 Year | -20.4% | +13.4% | +60.8% |
| 3 Year | -1.4% | +11.9% | +41.2% |
| 5 Year | +0.4% | +11.4% | +32.2% |
| 10 Year | +4.3% | +11.7% | +21.5% |
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
Standard GEM competes US stocks against a broad international index that blends developed and emerging markets together. This variant separates them so that emerging markets can win the full allocation on their own when they are the strongest trending asset. The core dual momentum logic is unchanged: the strategy first checks whether US stocks have outperformed Treasury bills over the trailing 12 months. If not, the portfolio moves defensively to bonds. If yes, the strategy picks the single strongest-trending equity market -- US, developed international, or emerging -- and allocates 100% there. The rationale for the split is that emerging markets can produce strong independent trends that a blended international index would partially obscure.
Who It's For
This portfolio suits investors already familiar with Gary Antonacci's dual momentum framework who want to give emerging market trends a direct route to the full allocation. It requires the same discipline as any dual momentum strategy -- following rules mechanically and holding 100% in a single, sometimes volatile asset class -- and is appropriate for medium-to-long time horizons.
Pros
- Retains the crash protection of the absolute momentum filter from the original GEM framework
- Explicit emerging market slot can capture periods of strong EM outperformance that would be muted in a blended index
- Rules-based and straightforward to implement
Cons
- Emerging markets are already partially represented in broad international indices, creating potential for double-counting if the portfolio also holds an international fund
- Emerging market equities are significantly more volatile than developed market equities -- a 100% EM position can be uncomfortable
- No formal academic paper validates this specific construction; it is a practitioner extension of Antonacci's original model
Technical Notes
Signals are evaluated monthly on the last trading day using 12-month trailing returns. When no equity asset passes the absolute momentum check against Treasury bills, the portfolio holds US aggregate bonds as the defensive position.
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