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 2026-06-18 (38.4 years): 9.0% CAGR, 1.08 Sharpe, -21.1% max drawdown, 9.0% volatility.
- Type
- Tactical (TAA)
- Author
- Gary Antonacci
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-12-31 to 2026-06-18
- CAGR
- 9.0%
- Sharpe
- 1.08
- 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.
Backtest Performance (1987-12-31 to 2026-06-18)
| Metric | CDM (Composite Dual Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.0% |
| Maximum Drawdown | -21.1% |
| Sharpe Ratio | 1.08 |
| Sortino Ratio | 1.64 |
| Annualized Volatility | 9.0% |
| Calmar Ratio | 0.43 |
| Total Return | 2645.5% |
| Backtest Period | 38.4 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
Track CDM (Composite Dual Momentum) in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.
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.