Diversified Dual Momentum at a glance
Diversified Dual Momentum is a tactical asset allocation (TAA) strategy by Corey Hoffstein (Newfound Research) across US Equity, International Equity, US Bonds, International Bonds, rebalanced monthly. Backtested 1987-10-30 to 2026-06-08 (38.6 years): 7.7% CAGR, 1.01 Sharpe, -22.1% max drawdown, 8.2% volatility.
- Type
- Tactical (TAA)
- Author
- Corey Hoffstein (Newfound Research)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-10-30 to 2026-06-08
- CAGR
- 7.7%
- Sharpe
- 1.01
- Max Drawdown
- -22.1%
- Volatility
- 8.2%
Diversified Dual Momentum — Tactical Asset Allocation Strategy
Diversified Dual Momentum by Corey Hoffstein extends dual momentum across four 25% pods: US/Intl Equity (SPY vs VEU), US/Intl Bonds (AGG vs BWX), Real Assets (VNQ vs DBC), Alternatives (GLD vs TLT). Each pod uses relative + absolute momentum vs BIL.
Backtest Performance (1987-10-30 to 2026-06-08)
| Metric | Diversified Dual Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.7% |
| Maximum Drawdown | -22.1% |
| Sharpe Ratio | 1.01 |
| Sortino Ratio | 1.41 |
| Annualized Volatility | 8.2% |
| Calmar Ratio | 0.35 |
| Total Return | 1629.1% |
| Backtest Period | 38.6 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Corey Hoffstein (Newfound Research)
- Source
- Hoffstein, C. Diversified Dual Momentum. Newfound Research
Asset Classes
- US Equity
- International Equity
- US Bonds
- International Bonds
- REITs
- Commodities
- Gold
- Long Treasuries
- Cash
Categories
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