ADM (Accelerating Dual Momentum) at a glance
ADM (Accelerating Dual Momentum) is a tactical asset allocation (TAA) strategy by EngineeredPortfolio across US Equity, International Small Cap, Long-Term Treasuries, TIPS, rebalanced monthly. Backtested 1986-02-28 to 2026-06-18 (40.3 years): 15.5% CAGR, 1.08 Sharpe, -25.8% max drawdown, 14.7% volatility.
- Type
- Tactical (TAA)
- Author
- EngineeredPortfolio
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-06-18
- CAGR
- 15.5%
- Sharpe
- 1.08
- Max Drawdown
- -25.8%
- Volatility
- 14.7%
ADM (Accelerating Dual Momentum) — Tactical Asset Allocation Strategy
Accelerating Dual Momentum (ADM) by EngineeredPortfolio is a dual momentum strategy that uses an accelerating momentum measure (the average of 1-month, 3-month, and 6-month returns) to compare US equities (SPY) against international small caps (SCZ). If the winner has positive momentum, the portfolio goes 100% into that equity asset. If neither has positive momentum, the portfolio moves entirely into the better-performing safe haven asset (TLT or TIP) based on 1-month return. The strategy always holds 100% in a single asset.
Backtest Performance (1986-02-28 to 2026-06-18)
| Metric | ADM (Accelerating Dual Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 15.5% |
| Maximum Drawdown | -25.8% |
| Sharpe Ratio | 1.08 |
| Sortino Ratio | 1.72 |
| Annualized Volatility | 14.7% |
| Calmar Ratio | 0.60 |
| Total Return | 33366.7% |
| Backtest Period | 40.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- EngineeredPortfolio
- Source
- EngineeredPortfolio (2018). Accelerating Dual Momentum (ADM)
Asset Classes
- US Equity
- International Small Cap
- Long-Term Treasuries
- TIPS
Categories
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