Dual Momentum 10 Period System

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Date: 2019-11-12

Current signal (allocation %)

- Standard & Poor's 500: 90.00%
- MSCI All Country World ex-US: 10.00%
- Barclays Capital US Aggregate Bond: 0.00%

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

Look-back period (days)VOO Total ReturnVEU Total Return (%)BIL Total Return
639.09%10.73%0.42%
844.29%3.40%0.62%
1057.82%6.64%0.79%
1279.48%7.37%1.02%
1487.64%3.49%1.20%
16910.93%5.80%1.40%
19014.04%9.62%1.60%
21121.84%13.36%1.80%
23218.80%13.84%1.97%
25313.50%11.44%2.15%

Dual Momentum 10 Period System - Extended Backtest

Stats

Total Return CAGR Max Drawdown Avg. Drawdown Avg. Drawdown Days Yearly Vol
665.72% 9.85% -16.60% -1.93% 30.69 12.34%

ETF Proxies used for Backtest:

- Standard & Poor's 500: vfinx
- MSCI All Country World ex-US: vgtsx
- Barclays Capital US Aggregate Bond: vbmfx
- US Treasury bill : vfisx

Use S&P500 as Absolute Momentum Filter: No

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1998 0.69 6.21 4.71 0.98 -1.74 4.07 -1.05 -11.39 5.21 1.61 2.38 4.39 15.83
1999 3.52 -2.99 3.99 3.85 -2.54 5.44 -3.03 0.14 -0.39 3.64 3.78 9.43 26.89
2000 -6.22 2.83 3.48 -5.27 -2.28 3.17 -2.22 3.66 -4.48 0.42 0.57 1.82 -5.1
2001 1.76 0.92 0.55 -0.46 0.74 0.21 1.92 0.41 0.11 1.84 -1.34 -0.67 6.1
2002 0.47 0.39 -0.43 -0.13 1.1 -2.44 -1.61 1.06 1.53 -0.61 0.28 0.64 0.18
2003 -0.44 1.14 -0.02 1.59 3.29 0.91 1.88 2.35 2.77 6.49 2.13 7.8 33.95
2004 1.6 2.5 0.45 -3.14 0.39 2.22 -3.17 1.26 1.64 2.24 7.06 4.44 18.45
2005 -1.67 4.68 -2.93 -2.07 0.26 0.86 2.34 1.29 4.13 -3.37 2.67 4.66 10.91
2006 6.75 -0.72 3.17 5.12 -4.45 -0.38 1.28 2.24 0.6 3.86 2.99 2.87 25.41
2007 1.01 -0.14 2.88 3.92 3.09 0.61 -1.06 -0.72 5.47 5.63 -4.57 -1.95 14.55
2008 -3.73 0.76 0.3 -0.4 -0.52 -1.71 -0.14 0.7 -1.11 -2.53 3.65 3.33 -1.64
2009 -0.7 -0.43 1.48 0.36 4.52 -0.95 6.36 2.45 4.69 -1.53 3.79 2.12 24.13
2010 -4.39 1.99 5.71 0.94 -8.36 -3.67 1.99 -2.98 3.12 2.77 -3.62 6.97 -0.69
2011 1.66 3.37 -0.18 3.47 -2.2 -1.41 -1.08 -3.44 -2.74 -1.06 0.4 1.07 -2.4
2012 1.78 1.92 2.46 -0.61 -6.02 2.05 1.38 1.8 2.75 -1.41 0.95 2.47 9.55
2013 3.89 -0.71 2 2.23 -0.38 -1.39 5.07 -2.91 3.12 4.4 2.23 2.23 21.28
2014 -3.58 4.56 0.82 0.72 2.27 1.97 -1.4 3.69 -1.41 2.42 2.68 -0.25 12.9
2015 -3.01 4.65 -1.79 1.25 0.6 -2.23 1.43 -5.61 -2.16 0.04 -0.69 -1.3 -8.83
2016 -2.12 0.64 1.52 0.22 0.28 0.18 3.68 0.22 0.15 -1.95 0.15 2.05 4.98
2017 1.88 3.96 0.09 1.22 2.2 0.59 3.14 0.59 1.81 1.94 0.97 1.53 21.78
2018 5.65 -4.25 -2.22 -0.03 0.17 0.42 3.34 3.24 0.55 -6.85 1.85 -5.86 -4.69
2019 1.03 0.97 1.44 2.71 -5.33 3.11 0.86 -1 0 0 0 0 3.59

Credits: Yanniel Alvarez Alfonso

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