CDM (Composite Dual Momentum)
For each of the 4 modules (Equities, Credit, Real Estate, Stress):. Backtest max drawdown: -21.6%.
Strategy & methodology
For each of the 4 modules (Equities, Credit, Real Estate, Stress):; Step 1 (Relative momentum): compare 12-month returns of the two module assets, pick the winner; Step 2 (Absolute momentum): if winner's 12m return > BIL's → hold…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2012; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (10)
- REM: IYR x1.2 before May 4, 2007
- HYG: VWEHX before Apr 11, 2007
- VNQ: VGSIX before Sep 29, 2004
- TLT: VUSTX before Jul 26, 2002
- LQD: PIGIX before Jul 26, 2002
- EFA: VGTSX before Aug 17, 2001
- LQD: VWESX before Jul 26, 2002
- VNQ: FRESX before Sep 29, 2004
- EFA: PRITX before Aug 17, 2001
- 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
For each of the 4 modules (Equities, Credit, Real Estate, Stress):. Backtest max drawdown: -21.6%. 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 0fb0b537, published 2026-10-01
Is CDM (Composite Dual Momentum) still working in 2026?
CDM (Composite Dual Momentum) returned 4.42% over the trailing 12 months and 40.95% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 8.39%. Its full-backtest maximum drawdown was -21.61%. The full sample contains 9860 daily NAV observations from 1987-12-31. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -9.99% below its high-water mark of 2026-01-29, 8 months ago, and its longest run below a previous high was 2.6 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 4.42% | Not annualized | -10.14% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 40.95% | Not annualized | -10.14% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 2167.08% | 8.39% | -21.61% | 9860 | 1987-12-31 to 2026-10-01 |
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 2026-01-29, 8 months before 2026-10-01, and it is -9.99% below that level now. The longest run below a previous high in the full backtest was 2.6 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.
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 2026-10-01 (38.8 years): 8.4% CAGR, 1.10 Sharpe, -21.6% max drawdown, 7.9% volatility.
- Type
- Tactical (TAA)
- Author
- Gary Antonacci
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-12-31 to 2026-10-01
- CAGR
- 8.4%
- Sharpe
- 1.10
- Max Drawdown
- -21.6%
- Volatility
- 7.9%
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 2026-10-01, CDM (Composite Dual Momentum) returned 8.4% CAGR with a -21.6% maximum drawdown and a Sharpe ratio of 1.10. 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 2026-10-01)
| Metric | CDM (Composite Dual Momentum) |
|---|---|
| CAGR | 8.4% |
| Max Drawdown | -21.6% |
| Sharpe | 1.10 |
| Sortino | 1.83 |
| Volatility | 7.9% |
| Calmar | 0.39 |
| Total Return | 2167.1% |
| Backtest Period | 38.8 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
- 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.
Holding CDM (Composite 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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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.
- GEM vs ADM vs CDM: A Comparison on the Same DatesGEM, ADM and CDM compared from December 1987 through August 2026: shared-window returns, month-end drawdowns, rule differences and historical-proxy limits.