Diversified Dual Momentum
Diversified Dual Momentum is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-07-23. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2019-01-14 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-07-23
- History boundary
- The recorded 2019-01-14 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Pod 1: SPY vs VEU by 12m return; winner must beat BIL 2. Pod 2: AGG vs BWX; Pod 3: VNQ vs DBC; Pod 4: GLD vs TLT 3. Each pod: winner held if beating BIL, else BIL (cash)
- BestFolio supplies
- the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- 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
- Freshness
- The latest available backtest ends 2026-07-23. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of August; scheduled 2026-08-03 at 09:30 ET. Review the published signal before placing any trade.
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 2026-07-23 (38.7 years): 7.5% CAGR, 0.98 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 2026-07-23
- CAGR
- 7.5%
- Sharpe
- 0.98
- 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.
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 Corey Hoffstein (Newfound Research). It is based on Hoffstein, C. Diversified Dual Momentum. Newfound Research.
- What is the historical return and maximum drawdown of Diversified Dual Momentum?
- Backtested from 1987-10-30 to 2026-07-23, Diversified Dual Momentum returned 7.5% CAGR with a -22.1% maximum drawdown and a Sharpe ratio of 0.98. 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 2026-07-23)
| Metric | Diversified Dual Momentum |
|---|---|
| CAGR | 7.5% |
| Max Drawdown | -22.1% |
| Sharpe | 0.98 |
| Sortino | 1.36 |
| Volatility | 8.2% |
| Calmar | 0.34 |
| Total Return | 1530.9% |
| Backtest Period | 38.7 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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