CDM (Composite Dual Momentum) — Tactical Asset Allocation Strategy
Four independent 25% dual-momentum modules (Equities, Credit, Real Estate, Stress). Each module picks its relative momentum winner, then applies an absolute filter vs T-bills. Broadly diversified across asset classes. Monthly rebalancing.
Backtest Performance (1990-10-31 to 2026-04-07)
| Metric | CDM (Composite Dual Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.6% |
| Maximum Drawdown | -21.1% |
| Sharpe Ratio | 1.04 |
| Sortino Ratio | 1.25 |
| Annualized Volatility | 8.3% |
| Calmar Ratio | 0.41 |
| Total Return | 1775.2% |
| Backtest Period | 35.6 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Gary Antonacci
Categories
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