Performance & Risk Metrics (2016-2026)
| Metric | Dual Momentum (DM) | Ivy Portfolio |
|---|---|---|
| CAGR (10-Year Annualized Return) | 12.9% | 8.8% |
| Max Drawdown | -21.0% | -14.2% |
| Sharpe Ratio (Risk-Adjusted Return) | 0.71 | 0.64 |
| Volatility (Annualized StdDev) | 13.1% | 8.9% |
| Best Calendar Year | +30.8% | +19.6% |
| Worst Calendar Year | -10.1% | -8.5% |
| Strategy Type | Tactical Asset Allocation (Trend following) | Tactical Asset Allocation (Trend following) |
| Rebalancing Frequency | Monthly (on momentum signals) | Monthly (on momentum signals) |
Dual Momentum Philosophy
Gary Antonacci's Dual Momentum applies relative momentum (choosing between US and international equities) and absolute momentum (moving entirely to bonds when equities lose to T-bills). The result is a concentrated, binary portfolio that is either 100% equities or 100% bonds.
Ivy Portfolio Philosophy
Meb Faber's Ivy Portfolio spreads risk across five asset classes (equities, international equities, REITs, commodities, bonds) and uses the 10-month moving average to decide whether to hold or move each position to cash. This creates a more diversified tactical portfolio.
Which Strategy is Right For You?
Choose GEM if: You are comfortable with monthly monitoring, invest via tax-advantaged accounts (like IRAs or 401ks in the US, or tax-wrapped accounts in Europe), and want to maximize long-term growth while protecting capital from major multi-year bear markets.
Choose 60/40 if: You prefer a hands-off, "set and forget" approach, have a taxable investment account where frequent turnover triggers capital gains tax, and can emotionally tolerate drawdowns of 20-30% without panic-selling.