Dual Momentum

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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: 2020-03-31

Current signal (allocation %)

- Standard & Poor's 500: 0.00%
- MSCI All Country World ex-US: 0.00%
- Barclays Capital US Aggregate Bond: 100.00%

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

Look-back period (days)VOO Total ReturnVEU Total ReturnBIL Total Return
63-19.56%-23.44%0.44%
84-17.17%-20.25%0.56%
105-14.44%-19.65%0.68%
127-12.29%-16.63%0.83%
148-10.60%-13.86%1.00%
169-12.03%-16.38%1.16%
190-11.50%-18.49%1.35%
211-4.51%-13.05%1.53%
232-9.91%-17.29%1.74%
253-8.02%-16.68%1.92%

Disclaimer:

Credits: Yanniel