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 2026-07-03, 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.

Diversified Dual Momentum Strategy by Corey Hoffstein (Newfound Research)

Name: Diversified Dual Momentum, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 2026-07-03 (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 2026-07-03
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 2026-07-03, 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 2026-07-03)

Metric	Diversified Dual Momentum
Compound Annual Growth Rate (CAGR)	7.5%
Maximum Drawdown	-22.1%
Sharpe Ratio	0.98
Sortino Ratio	1.36
Annualized Volatility	8.2%
Calmar Ratio	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

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