CDM (Composite Dual Momentum) at a glance
CDM (Composite Dual Momentum) is a tactical asset allocation (TAA) strategy by Gary Antonacci across US Equity, International Equity, Corporate Bonds, High Yield Bonds, rebalanced monthly. Backtested 1987-12-31 to 2026-07-03 (38.5 years): 8.9% CAGR, 1.07 Sharpe, -21.1% max drawdown, 9.0% volatility.
- Type
- Tactical (TAA)
- Author
- Gary Antonacci
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-12-31 to 2026-07-03
- CAGR
- 8.9%
- Sharpe
- 1.07
- Max Drawdown
- -21.1%
- Volatility
- 9.0%
CDM (Composite Dual Momentum) — Tactical Asset Allocation Strategy
Composite Dual Momentum (CDM) applies Gary Antonacci's dual momentum framework across four independent portfolio modules, each allocated 25% of the portfolio: Equities, Credit, Real Estate, and Stress.
Within each module, two assets compete on relative momentum (12-month total return). The winner is then tested against an absolute momentum filter: if the winning asset's 12-month return exceeds BIL (T-bills), it is held; otherwise, the module rotates entirely into BIL as a defensive position.
CDM (Composite Dual Momentum): frequently asked questions
- What is Composite Dual Momentum?
- 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.
- Who created the CDM (Composite Dual Momentum) strategy?
- CDM (Composite Dual Momentum) was developed by Gary Antonacci. It is based on Antonacci, G. Dual Momentum Investing. McGraw-Hill (2014)..
- What is the historical return and maximum drawdown of CDM (Composite Dual Momentum)?
- Backtested from 1987-12-31 to 2026-07-03, CDM (Composite Dual Momentum) returned 8.9% CAGR with a -21.1% maximum drawdown and a Sharpe ratio of 1.07. Past performance does not guarantee future results.
- How often is CDM (Composite Dual Momentum) rebalanced?
- CDM (Composite Dual Momentum) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is CDM (Composite Dual Momentum) a tactical asset allocation strategy?
- Yes. CDM (Composite 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 (1987-12-31 to 2026-07-03)
| Metric | CDM (Composite Dual Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.9% |
| Maximum Drawdown | -21.1% |
| Sharpe Ratio | 1.07 |
| Sortino Ratio | 1.63 |
| Annualized Volatility | 9.0% |
| Calmar Ratio | 0.42 |
| Total Return | 2588.4% |
| Backtest Period | 38.5 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Gary Antonacci
- Source
- Antonacci, G. Dual Momentum Investing. McGraw-Hill (2014).
Asset Classes
- US Equity
- International Equity
- Corporate Bonds
- High Yield Bonds
- REITs
- Gold
- Long-Term Treasuries
- T-Bills
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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Related research
- Dual Momentum's 2022 Problem: Why Canary Models Worked When GEM Didn't2022 was the cleanest A/B test the tactical asset allocation community is ever going to get. Classic dual momentum strategies (GEM, ADM, CDM) lost between 10 and 24 percent. Three Keller canary-family strategies (BAA-G4, BAA-G12, HAA) closed the year with positive returns. Same tactical framework, completely different design choices, and a lesson about which defensive asset actually defends when the "safe haven" bond is the thing falling.
- Strategy Spotlight: GEM (Global Equities Momentum) — The Dual Momentum Classic That Changed ETF InvestingGlobal Equities Momentum (GEM) is Gary Antonacci's flagship dual momentum strategy that rotates between U.S. stocks, international stocks, and bonds based on 12-month returns. With a backtest CAGR of 11.3% and a systematic approach to avoiding bear markets, GEM remains one of the most popular tactical asset allocation strategies for individual investors.
- Dual Momentum Explained: GEM, ADM, and CDM ComparedDual momentum is the foundation of many tactical strategies. We explain how it works and compare the three main implementations: GEM, ADM, and CDM.