GEM (Global Equities Momentum)
TacticalFreemoderateRobustness 1.00Based on research by Gary Antonacci · Antonacci, G. (2014). Dual Momentum Investing
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2014About 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
4 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Gary Antonacci
Antonacci, G. (2014). Dual Momentum Investing
Read original paper →Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Aug 309:30 ET (30d)
- Variants
- 1
- Risk Category
- moderate
- Regime
- Risk-On
- Signal Date
- 2026-07-31
- Tags
- 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
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 2026-07-03 (40.3 years): 12.3% CAGR, 0.98 Sharpe, -33.7% max drawdown, 14.2% volatility.
- Type
- Tactical (TAA)
- Author
- Gary Antonacci
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-07-03
- CAGR
- 12.3%
- Sharpe
- 0.98
- Max Drawdown
- -33.7%
- Volatility
- 14.2%
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 2026-07-03, GEM (Global Equities Momentum) returned 12.3% CAGR with a -33.7% maximum drawdown and a Sharpe ratio of 0.98. 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 2026-07-03)
| Metric | GEM (Global Equities Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 12.3% |
| Maximum Drawdown | -33.7% |
| Sharpe Ratio | 0.98 |
| Sortino Ratio | 1.36 |
| Annualized Volatility | 14.2% |
| Calmar Ratio | 0.36 |
| Total Return | 10560.1% |
| Backtest Period | 40.3 years |
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.
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