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A Quarterly Updated Dual Momentum Portfolio Of Ten Funds

This is a follow up to the results presented some time ago ( ) which suggested that a specific set of parameters for the dual momentum strategy to a large class of funds yields very good performance. Here, the results of applying the strategy to a set of ten Fidelity funds (FSRPX, FSTCX, FIUIX, FSENX, FSESX, FSRFX, FSCGX, FSMEX, FSEMX, FDVLX) are described.

The method is quite straightforward, and requires very little computations. The portfolio consists of ten or less funds selected at each quarter in the following manner:

  • At the beginning of each quarter, calculate the total return of each fund, and of LQD, during the immediately preceding calendar month.
  • For each fund, compare its return with that of LQD, and if its return is less than the return of LQD, replace it by LQD. If the return of the fund as well as the return of LQD is a loss, replace it by TLT.
  • Thus there are ten assets, each of them being one of the funds, or LQD, or TLT.
  • Invest equal amounts in the ten assets thus selected.

Thus, at the beginning of every quarter, the amount invested in any of the funds is either zero or ten percent of the portfolio, and the investment in TLT or LQD may range from zero to hundred percent of the portfolio.

The following table summarizes the results for the period 2003-2017.



Sharpe Ratio


Sortino Ratio


Maximum Drawdown


Volatility (annualized)


One Factor Beta


The equity curve, the rolling buy and hold returns, and the allocation diagrams are shown in the figures below.

For Q1 2017, the allocations are 30% for LQD, and 10% for each of the following funds: FSESX, FSTCX, FIUIX, FDVLX, FSEMX, FSMEX and FSRFX.

Disclosure: I/we have no positions in any stocks mentioned, but may initiate a long position in FSRPX FSTCX FIUIX FSENX FSESX FSRFX FSCGX FSMEX FSEMX FDVLX LQD over the next 72 hours.

Additional disclosure: This is not financial advice, but just a diary of one of my strategies.