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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)

MetricDiversified Dual Momentum
CAGR7.5%
Max Drawdown-22.1%
Sharpe0.98
Sortino1.36
Volatility8.2%
Calmar0.34
Total Return1530.9%
Backtest Period38.7 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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