ADM (Accelerating Dual Momentum) — Tactical Asset Allocation Strategy
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.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | ADM (Accelerating Dual Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 14.2% |
| Maximum Drawdown | -25.8% |
| Sharpe Ratio | 0.95 |
| Sortino Ratio | 1.25 |
| Annualized Volatility | 15.2% |
| Calmar Ratio | 0.55 |
| Total Return | 8360.5% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- EngineeredPortfolio
Categories
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