ADM (Accelerating Dual Momentum)
Compute accelerating momentum (avg of 1m, 3m, 6m returns) for SPY and SCZ. Backtest max drawdown: -25.8%.
Strategy & methodology
Compute accelerating momentum (avg of 1m, 3m, 6m returns) for SPY and SCZ; If SPY momentum > SCZ momentum AND SPY momentum > 0 → 100% SPY; If SCZ momentum > SPY momentum AND SCZ momentum > 0 → 100% SCZ; Otherwise → 100% in whichever of…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2018-05-02; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-09-30.
Simulated history
Stand-in funds and until when (5)
- SCZ: EFA x1.1 before Dec 12, 2007
- TIP: VIPSX before Dec 5, 2003
- TLT: VUSTX before Jul 26, 2002
- TIP: PRTNX before Dec 5, 2003
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Compute accelerating momentum (avg of 1m, 3m, 6m returns) for SPY and SCZ. Backtest max drawdown: -25.8%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are 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. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 6d31f9a3, published 2026-10-01
Is ADM (Accelerating Dual Momentum) still working in 2026?
ADM (Accelerating Dual Momentum) returned 9.43% over the trailing 12 months and 54.06% over 36 months through 2026-09-30, compared with a full-backtest annualized return of 15.77%. Its full-backtest maximum drawdown was -25.77%. The full sample contains 10312 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-09-30 it is -3.40% below its high-water mark of 2026-02-27, 7 months ago, and its longest run below a previous high was 3.0 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 9.43% | Not annualized | -11.43% | 252 | 2025-09-30 to 2026-09-30 |
| Trailing 36 months | 54.06% | Not annualized | -17.77% | 753 | 2023-09-29 to 2026-09-30 |
| Full backtest | 37995.41% | 15.77% | -25.77% | 10312 | 1986-02-28 to 2026-09-30 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-02-27, 7 months before 2026-09-30, and it is -3.40% below that level now. The longest run below a previous high in the full backtest was 3.0 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-09-30 (40.6 years): 15.8% CAGR, 1.10 Sharpe, -25.8% max drawdown, 14.4% volatility.
- Type
- Tactical (TAA)
- Author
- EngineeredPortfolio
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-09-30
- CAGR
- 15.8%
- Sharpe
- 1.10
- Max Drawdown
- -25.8%
- Volatility
- 14.4%
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 2026-09-30, ADM (Accelerating Dual Momentum) returned 15.8% CAGR with a -25.8% maximum drawdown and a Sharpe ratio of 1.10. 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 2026-09-30)
| Metric | ADM (Accelerating Dual Momentum) |
|---|---|
| CAGR | 15.8% |
| Max Drawdown | -25.8% |
| Sharpe | 1.10 |
| Sortino | 1.95 |
| Volatility | 14.4% |
| Calmar | 0.61 |
| Total Return | 37995.4% |
| Backtest Period | 40.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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.
Holding ADM (Accelerating Dual Momentum) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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