Performance & Risk Metrics (2016-2026)
| Metric | Dual Momentum | Larry Portfolio |
|---|---|---|
| CAGR (10-Year Annualized Return) | 10.9% | 9.1% |
| Max Drawdown | -18.2% | -24.5% |
| Sharpe Ratio (Risk-Adjusted Return) | 0.62 | 0.52 |
| Strategy Type | Tactical Asset Allocation (Trend following) | Passive Portfolio (Factor Tilted) |
| Rebalancing Frequency | Monthly (on momentum signals) | Annually (fixed target weights) |
DM Philosophy
Dual Momentum simplifies trend following to a single binary signal: is the S&P 500's trailing 12-month return greater than T-Bills? If yes, invest 100% in US stocks. If no, rotate entirely to bonds. This removes the international equity component, sacrificing diversification for maximum execution simplicity.
Larry Portfolio Philosophy
Larry Swedroe's factor-tilted portfolio concentrates equity exposure in small-cap value stocks globally, while holding only safe short-term bonds. This aggressive factor bet aims for the highest expected equity returns by harvesting the Size and Value premiums, while keeping bond duration short to minimize interest rate risk.
Key Differences Explained
Both strategies take concentrated bets — DM concentrates in timing (all stocks or all bonds), while Larry concentrates in factor exposure (small-cap value). DM's tactical approach yields higher CAGR (10.9% vs 9.1%) with lower drawdowns (-18.2% vs -24.5%), making it the more efficient choice for risk-adjusted returns.
- Strategy Type: DM is a tactical, actively-managed approach. Larry Portfolio is a passive, buy-and-hold approach.
- Return vs Risk: DM delivered 10.9% CAGR with -18.2% max drawdown (Sharpe: 0.62). Larry Portfolio delivered 9.1% CAGR with -24.5% max drawdown (Sharpe: 0.52).
- Maintenance: DM requires monthly signal monitoring. Larry Portfolio needs only annual rebalancing.
Side-by-Side Pros and Cons
DM Strengths & Limits
- Simplest possible momentum system — single binary signal
- Only requires two ETFs to implement
- Easiest to automate and follow consistently
- Misses international equity rallies entirely
- No global diversification
- Same whipsaw vulnerability as GEM
Larry Portfolio Strengths & Limits
- Highest expected returns from documented factor premiums
- Short-term bonds eliminate interest rate risk
- Academically grounded in Fama-French research
- Deep drawdowns from concentrated equity factor exposure
- Value factor can underperform growth for decades
- Requires strong conviction to hold through long underperformance
Which Strategy is Right For You?
Choose DM if: You want tactical protection during crashes. DM's momentum filter exits equities during bear markets, providing systematic crash protection that the Larry Portfolio lacks.
Choose Larry Portfolio if: You believe deeply in academic factor premiums and have a very long time horizon (20+ years). The Larry Portfolio's concentrated size/value bet aims for the highest passive equity returns.
Deep Dive
Want to master this strategy? Read our definitive Guide to Momentum Investing to understand the core rules, historical performance, and exact ETF implementations.