GEM (Global Equities Momentum)
TacticalFreemoderateBased 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
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
- Jun 109:30 ET (6d)
- Variants
- 1
- Risk Category
- moderate
- Regime
- Aggressive
- Signal Date
- 2026-05-29
- 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 2026-05-25 (40.2 years): 12.3% CAGR, 0.89 Sharpe, -33.7% max drawdown, 14.1% volatility.
- Type
- Tactical (TAA)
- Author
- Gary Antonacci
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-25
- CAGR
- 12.3%
- Sharpe
- 0.89
- Max Drawdown
- -33.7%
- Volatility
- 14.1%
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.
Backtest Performance (1986-02-28 to 2026-05-25)
| Metric | GEM (Global Equities Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 12.3% |
| Maximum Drawdown | -33.7% |
| Sharpe Ratio | 0.89 |
| Sortino Ratio | 1.07 |
| Annualized Volatility | 14.1% |
| Calmar Ratio | 0.36 |
| Total Return | 10436.6% |
| Backtest Period | 40.2 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
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