Dual Momentum

Home Page
Absolute Momentum Filter: S&P 500
Risk Free Proxy: BIL
Lookback time unit: days
Number of lookbacks: 10
Lookbacks considered: 63,84,105,127,148,169,190,211,232,253

Date: 2020-07-02

Current signal (allocation %)

- Standard & Poor's 500: 80.00%
- MSCI All Country World ex-US: 0.00%
- Barclays Capital US Aggregate Bond: 20.00%

(ETF Proxies used for DM signal generation: VOO, VEU, BIL)

Look-back period (days)VOO Total ReturnVEU Total ReturnBIL Total Return
6326.44%24.05%0.00%
844.25%0.51%0.06%
105-4.22%-7.69%0.29%
127-2.94%-10.00%0.38%
1481.66%-4.66%0.52%
1694.49%-4.05%0.64%
19010.01%1.85%0.80%
2119.48%2.41%0.94%
2328.79%1.20%1.11%
2536.61%-3.54%1.28%

Disclaimer:

Credits: Yanniel