ADM (Accelerating Dual Momentum)
ADM (Accelerating Dual Momentum) is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-08-01. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2018-05-02 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-08-01
- History boundary
- The recorded 2018-05-02 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Compute accelerating momentum (avg of 1m, 3m, 6m returns) for SPY and SCZ 2. If SPY momentum > SCZ momentum AND SPY momentum > 0 → 100% SPY 3. If SCZ momentum > SPY momentum AND SCZ momentum > 0 → 100% SCZ 4. Otherwise → 100% in…
- BestFolio supplies
- the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled
- Freshness
- The latest available backtest ends 2026-08-01. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- Today (first trading day of August); scheduled 2026-08-03 at 09:30 ET. Review the published signal before placing any trade.
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 2026-08-01 (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 2026-08-01
- 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.
ADM (Accelerating Dual Momentum): frequently asked questions
- What is Accelerating Dual Momentum?
- Accelerating dual momentum averaging 1/3/6-month returns to rank US vs international small-cap equities. Winner must show positive momentum; otherwise the best Treasury bond is selected. 100% single-asset allocation. Monthly rebalancing.
- Who created the ADM (Accelerating Dual Momentum) strategy?
- ADM (Accelerating Dual Momentum) was developed by EngineeredPortfolio. It is based on EngineeredPortfolio (2018). Accelerating Dual Momentum (ADM).
- What is the historical return and maximum drawdown of ADM (Accelerating Dual Momentum)?
- Backtested from 1986-02-28 to 2026-08-01, ADM (Accelerating Dual Momentum) returned 15.5% CAGR with a -25.8% maximum drawdown and a Sharpe ratio of 1.08. Past performance does not guarantee future results.
- How often is ADM (Accelerating Dual Momentum) rebalanced?
- ADM (Accelerating Dual Momentum) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is ADM (Accelerating Dual Momentum) a tactical asset allocation strategy?
- Yes. ADM (Accelerating Dual Momentum) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1986-02-28 to 2026-08-01)
| Metric | ADM (Accelerating Dual Momentum) |
|---|---|
| CAGR | 15.5% |
| Max Drawdown | -25.8% |
| Sharpe | 1.08 |
| Sortino | 1.71 |
| Volatility | 14.7% |
| Calmar | 0.60 |
| Total Return | 32949.9% |
| 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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