Performance & Risk Metrics (2016-2026)
| Metric | Global Equity Momentum (GEM) | Dual Momentum |
|---|---|---|
| CAGR (10-Year Annualized Return) | 12.3% | 10.9% |
| Max Drawdown | -17.8% | -18.2% |
| Sharpe Ratio (Risk-Adjusted Return) | 0.72 | 0.62 |
| Strategy Type | Tactical Asset Allocation (Trend following) | Tactical Asset Allocation (Trend following) |
| Rebalancing Frequency | Monthly (on momentum signals) | Monthly (on momentum signals) |
GEM Philosophy
Gary Antonacci's GEM uses a two-step momentum filter. First, relative momentum compares US equities against international equities, selecting the leader. Then, absolute momentum checks whether the winner beats T-Bills — if not, the portfolio rotates to bonds. This dual filter captures global equity upside while protecting against prolonged bear markets.
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.
Key Differences Explained
The fundamental difference is international diversification. GEM compares US vs international equities for relative momentum, giving it access to the full global equity opportunity set. DM only switches between US stocks and bonds — a simpler binary signal. Over 2016-2026, GEM's international access added ~1.4% CAGR with marginally lower drawdowns.
- Strategy Type: GEM is a tactical, actively-managed approach. DM is a tactical, actively-managed approach.
- Return vs Risk: GEM delivered 12.3% CAGR with -17.8% max drawdown (Sharpe: 0.72). DM delivered 10.9% CAGR with -18.2% max drawdown (Sharpe: 0.62).
- Maintenance: GEM requires monthly signal monitoring. DM requires monthly signal monitoring.
Side-by-Side Pros and Cons
GEM Strengths & Limits
- Higher historical CAGR through global diversification
- Absolute momentum filter protects during bear markets
- Access to international equity outperformance cycles
- Monthly signal-checking required
- Can whipsaw in sideways markets
- Tax-inefficient due to frequent rotations
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
Which Strategy is Right For You?
Choose GEM if: You want the highest expected returns from a momentum system and don't mind tracking one extra asset (international equities). GEM is the "complete" version of dual momentum investing.
Choose DM if: You prioritize absolute simplicity. If you only want two ETFs and the easiest possible trend-following system, DM delivers solid risk-adjusted returns with minimal effort.