Dual Momentum Recommendation

Jan. 11, 2019 5:16 PM ET3 Comments
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Long Only, ETF investing, Portfolio Strategy, Momentum

Contributor Since 2010

Retired physics instructor and now editor of the ITA Wealth Management investment blog.


  • Dual Momentum Model sticks with bonds.
  • Performance data since 9/30/2017 is positive.
  • A two look-back period is employed.

What is the Dual Momentum model predicting now that the market has flattened?  As readers will see below, the recommendation is to move 100% of the portfolio to bonds.  This has been the recommendation for many weeks.

To manage these simple portfolios I use two look-back periods instead of one as the shorter combination is faster to react to market changes.  In the version I use, the weight assigned to each is found below.

  • 60 trading day look-back is assigned a 50% weight.
  • 100 trading day look-back is assigned a 30% weight.
  • The remaining 20% is assigned to volatility where low volatile securities are rewarded.

Dual Momentum Recommendations:  Below is a worksheet from the Kipling spreadsheet, Version 3.4.  Click on slide to expand for ease on eyes.  While the spreadsheet is designed to handle more complex portfolios, it works well with the three asset classes used to populate Dual Momentum portfolios.

The current recommendation is to place 100% of the portfolio in SPAB or Bonds.  Over on the right-hand side of the screenshot you see a Position column.  That column shows a Buy for SPAB.  A lot of calculations are going on behind the worksheet to come up with this recommendation.

Dual Momentum Performance Data:  The following screenshot is a cutout from a larger performance data worksheet.  This data begins on 9/30/2017 and runs through 12/31/2018.  The four Dual Momentum portfolios are: Aristotle, Euclid, Galileo, and Maxwell.  In the right-hand column you will see the Internal Rate of Return for each portfolio as well as six possible benchmarks one might select. 

The Vanguard 2030 Target Index Fund (VTHRX) is the benchmark I use for the Dual Momentum portfolios since it includes both stocks and bonds in a ratio of 70/30.  As readers can see, all four DM portfolios outperformed all benchmarks, even the S&P 500 over this 15 month period.

Disclosure: I am/we are long SPAB.

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