Diversified Dual Momentum
Pod 1: SPY vs VEU by 12m return; winner must beat BIL. Pod 2: AGG vs BWX; Pod 3: VNQ vs DBC; Pod 4: GLD vs TLT. Backtest max drawdown: -21.8%.
Strategy & methodology
Pod 1: SPY vs VEU by 12m return; winner must beat BIL; Pod 2: AGG vs BWX; Pod 3: VNQ vs DBC; Pod 4: GLD vs TLT; Each pod: winner held if beating BIL, else BIL (cash).
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2026-03; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-21.
Simulated history
Stand-in funds and until when (7)
- BWX: RPIBX before Oct 11, 2007
- VEU: EFA before Mar 8, 2007
- VNQ: VGSIX before Sep 29, 2004
- AGG: VBMFX before Sep 26, 2003
- TLT: VUSTX before Jul 26, 2002
- VNQ: FRESX before Sep 29, 2004
- 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
Pod 1: SPY vs VEU by 12m return; winner must beat BIL. Pod 2: AGG vs BWX; Pod 3: VNQ vs DBC; Pod 4: GLD vs TLT. Backtest max drawdown: -21.8%. 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 d903befb, published 2026-10-17
Is Diversified Dual Momentum still working in 2026?
Diversified Dual Momentum returned 16.47% over the trailing 12 months and 49.11% over 36 months through 2026-10-22, compared with a full-backtest annualized return of 7.69%. Its full-backtest maximum drawdown was -21.84%. The full sample contains 9914 daily NAV observations from 1987-10-30. These are model results, not investor account returns or a promise. As of 2026-10-22 it is -2.77% below its high-water mark of 2026-08-21, 2 months ago, and its longest run below a previous high was 3.0 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 16.47% | Not annualized | -7.73% | 252 | 2025-10-22 to 2026-10-22 |
| Trailing 36 months | 49.11% | Not annualized | -7.73% | 754 | 2023-10-20 to 2026-10-22 |
| Full backtest | 1695.30% | 7.69% | -21.84% | 9914 | 1987-10-30 to 2026-10-22 |
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 2026-08-21, 2 months before 2026-10-22, and it is -2.77% below that level now. The longest run below a previous high in the full backtest was 3.0 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.
Diversified Dual Momentum at a glance
Diversified Dual Momentum is a tactical asset allocation (TAA) strategy by Gary Antonacci (adapted by BestFolio) across US Equity, International Equity, US Bonds, International Bonds, rebalanced monthly. Backtested 1987-10-30 to 2026-10-21 (39.0 years): 7.7% CAGR, 0.62 Sharpe, -21.8% max drawdown, 8.2% volatility.
- Type
- Tactical (TAA)
- Author
- Gary Antonacci (adapted by BestFolio)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-10-30 to 2026-10-21
- CAGR
- 7.7%
- Sharpe
- 0.62
- Max Drawdown
- -21.8%
- Volatility
- 8.2%
Diversified Dual Momentum — Tactical Asset Allocation Strategy
Diversified Dual Momentum is adapted from Gary Antonacci's Composite Dual Momentum. It keeps his structure: four 25% pods, each holding the stronger of two assets over 12 months only if that asset also beat T-bills (BIL), otherwise cash. The pods are US/Intl Equity (SPY vs VEU), US/Intl Bonds (AGG vs BWX), Real Assets (VNQ vs DBC) and Alternatives (GLD vs TLT). Only the last pair is Antonacci's own stress module; BestFolio swapped the other three (his are SPY vs EFA, LQD vs HYG and VNQ vs REM).
Not to be confused with Corey Hoffstein's strategy of the same name (Newfound Research, 2019), which runs Antonacci's GEM across seven lookbacks from 6 to 12 months.
Diversified Dual Momentum: frequently asked questions
- What is Diversified Dual Momentum?
- Four independent 25% pods (equity, bonds, real assets, alternatives) each applying relative then absolute dual momentum vs T-bills. Losers rotate to cash. Broad diversification with momentum overlay. Monthly rebalancing.
- Who created the Diversified Dual Momentum strategy?
- Diversified Dual Momentum was developed by Gary Antonacci (adapted by BestFolio). It is based on Gary Antonacci's Composite Dual Momentum (Risk Premia Harvesting Through Dual Momentum, 2012), with three of its four asset pairs changed.
- What is the historical return and maximum drawdown of Diversified Dual Momentum?
- Backtested from 1987-10-30 to 2026-10-21, Diversified Dual Momentum returned 7.7% CAGR with a -21.8% maximum drawdown and a Sharpe ratio of 0.62. Past performance does not guarantee future results.
- How often is Diversified Dual Momentum rebalanced?
- Diversified Dual Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Diversified Dual Momentum a tactical asset allocation strategy?
- Yes. Diversified 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 (1987-10-30 to 2026-10-21)
| Metric | Diversified Dual Momentum |
|---|---|
| CAGR | 7.7% |
| Max Drawdown | -21.8% |
| Sharpe | 0.62 |
| Sortino | 0.96 |
| Volatility | 8.2% |
| Calmar | 0.35 |
| Total Return | 1716.0% |
| Backtest Period | 39.0 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 (adapted by BestFolio)
- Source
- Gary Antonacci's Composite Dual Momentum (Risk Premia Harvesting Through Dual Momentum, 2012), with three of its four asset pairs changed
Asset Classes
- US Equity
- International Equity
- US Bonds
- International Bonds
- REITs
- Commodities
- Gold
- Long Treasuries
- Cash
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Diversified 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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