GEM (Global Equities Momentum)
Compute 12-month returns for SPY, VEU, AGG, and BIL. Current signal: Risk-On. Backtest max drawdown: -33.7%.
Current allocation
GEM Standard
- Holding period
- Data cutoff
- Next review
Based on research by Gary Antonacci · Antonacci, G. (2014). Dual Momentum InvestingPublished 2014momentumdual-momentumBestFolio's independent implementation, not affiliated with or endorsed by the original author.
About this Strategy
Global Equities Momentum (GEM) by Gary Antonacci is a dual momentum strategy that combines absolute momentum (trend-following) with relative momentum (cross-sectional) across global equities. First, it checks whether US equities (SPY) have positive absolute momentum by comparing SPY's 12-month return against T-bills (BIL). If positive, it then picks whichever has better relative momentum: US (SPY) or international (VEU) equities. If absolute momentum is negative, the entire portfolio moves to bonds (AGG). The strategy always holds 100% in a single asset.
Strategy Rules
- 1Compute 12-month returns for SPY, VEU, AGG, and BIL
- 2Absolute momentum test: Is SPY 12-month return > BIL 12-month return?
- 3If YES → Relative momentum: SPY 12m >= VEU 12m? → 100% SPY, else 100% VEU
- 4If NO → 100% AGG (bonds, defensive)
- 5Always 100% in a single asset, monthly rebalance
Asset Universe
3 instruments this strategy can hold
Key Differentiators
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Nov 209:30 ET (31d)
- Variants
- 1
- Risk Category
- moderate
- Regime
- Risk-On
- Signal Date
- 2026-09-30
- Tags
- momentum, dual-momentum
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 4 assets (SPY, VEU, AGG, BIL)
- Scoring Method
- 12-month total return (simple price change over lookback)
- Concentration
- 100% in a single asset at all times
- Dual Momentum
- Absolute momentum (SPY vs BIL) + relative momentum (SPY vs VEU)
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
Strategy & methodology
Compute 12-month returns for SPY, VEU, AGG, and BIL; Absolute momentum test: Is SPY 12-month return > BIL 12-month return; If YES → Relative momentum: SPY 12m >= VEU 12m? → 100% SPY, else 100% VEU; If NO → 100% AGG (bonds, defensive)…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2014; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01. Latest signal 2026-09-30.
Simulated history
Stand-in funds and until when (3)
- VEU: EFA before Mar 8, 2007
- AGG: VBMFX before Sep 26, 2003
- 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
Compute 12-month returns for SPY, VEU, AGG, and BIL. Current signal: Risk-On. Backtest max drawdown: -33.7%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach, current signal and allocation, and interactive backtest views on this page. 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.
- Customer action
- Place any required trades in your own brokerage at the next open on Oct 1, 2026. 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
- Freshness
- Signal data cutoff Sep 30, 2026 close.
- Next expected action
- Next review Nov 2, 2026 at the open (09:30 ET). Review the published signal before placing any trade.
Published result: Engine drift-until-flip-v1, data version e125f2c1, published 2026-10-01
Is GEM (Global Equities Momentum) still working in 2026?
GEM (Global Equities Momentum) returned 19.14% over the trailing 12 months and 76.70% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 13.38%. Its full-backtest maximum drawdown was -33.70%. The full sample contains 10252 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -3.98% below its high-water mark of 2026-09-04, 27 days ago, and its longest run below a previous high was 2.4 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 19.14% | Not annualized | -11.42% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 76.70% | Not annualized | -18.76% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 16223.91% | 13.38% | -33.70% | 10252 | 1986-02-28 to 2026-10-01 |
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 2026-09-04, 27 days before 2026-10-01, and it is -3.98% below that level now. The longest run below a previous high in the full backtest was 2.4 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.
GEM (Global Equities Momentum) at a glance
GEM (Global Equities Momentum) is a tactical asset allocation (TAA) strategy by Gary Antonacci across US Equity, International Equity, US Aggregate Bonds, T-Bills, rebalanced monthly. Backtested 1986-02-28 to 2026-10-01 (40.6 years): 13.4% CAGR, 1.04 Sharpe, -33.7% max drawdown, 14.3% volatility.
- Type
- Tactical (TAA)
- Author
- Gary Antonacci
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 13.4%
- Sharpe
- 1.04
- Max Drawdown
- -33.7%
- Volatility
- 14.3%
GEM (Global Equities Momentum) — Tactical Asset Allocation Strategy
Global Equities Momentum (GEM) by Gary Antonacci is a dual momentum strategy that combines absolute momentum (trend-following) with relative momentum (cross-sectional) across global equities. First, it checks whether US equities (SPY) have positive absolute momentum by comparing SPY's 12-month return against T-bills (BIL). If positive, it then picks whichever has better relative momentum: US (SPY) or international (VEU) equities. If absolute momentum is negative, the entire portfolio moves to bonds (AGG). The strategy always holds 100% in a single asset.
GEM (Global Equities Momentum): frequently asked questions
- What is Global Equities Momentum?
- Global Equities Momentum (GEM) is Gary Antonacci's dual-momentum strategy: each month it holds US stocks, international stocks, or bonds, whichever has the strongest trend, and rotates fully to bonds when equities weaken. One asset at a time, rebalanced monthly.
- Who created the GEM (Global Equities Momentum) strategy?
- GEM (Global Equities Momentum) was developed by Gary Antonacci. It is based on Antonacci, G. (2014). Dual Momentum Investing.
- What is the historical return and maximum drawdown of GEM (Global Equities Momentum)?
- Backtested from 1986-02-28 to 2026-10-01, GEM (Global Equities Momentum) returned 13.4% CAGR with a -33.7% maximum drawdown and a Sharpe ratio of 1.04. Past performance does not guarantee future results.
- How often is GEM (Global Equities Momentum) rebalanced?
- GEM (Global Equities Momentum) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is GEM (Global Equities Momentum) a tactical asset allocation strategy?
- Yes. GEM (Global Equities 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 (1986-02-28 to 2026-10-01)
| Metric | GEM (Global Equities Momentum) |
|---|---|
| CAGR | 13.4% |
| Max Drawdown | -33.7% |
| Sharpe | 1.04 |
| Sortino | 1.77 |
| Volatility | 14.3% |
| Calmar | 0.40 |
| Total Return | 16223.9% |
| Backtest Period | 40.6 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
- Source
- Antonacci, G. (2014). Dual Momentum Investing
Asset Classes
- US Equity
- International Equity
- US Aggregate Bonds
- T-Bills
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding GEM (Global Equities Momentum) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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