Composite Dual Momentum

Gary Antonacci's Composite Dual Momentum splits the portfolio into four equal modules: stocks (US or foreign), credit (high yield or investment grade), real estate (equity or mortgage REITs), and economic stress (gold or long Treasuries). Each month every module holds the stronger of its pair over 12 months, or Treasury bills if neither beat them.

Designed by Gary Antonacci, 2012. Implemented and tracked by Tactfolio.

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1×2×3×5×20082012201620202024
Growth of $1, log scale. Strategy SPY. Hypothetical results on daily ETF prices with trading costs, through Sep 2026.
May 2008 – Sep 2026StrategySPY
Annual return (CAGR)6.1%11.8%
Worst drawdown-21.6%-50.7%
Sharpe ratio0.680.67
Volatility9.4%19.7%
Annual return since publication (May 2012)4.9%14.5%

Composite Dual Momentum is Gary Antonacci's diversified version of dual momentum, from his 2012 paper "Risk Premia Harvesting Through Dual Momentum". Instead of one choice between stocks and bonds, it runs four small dual momentum models side by side, one for each kind of risk an investor gets paid for.

The idea#

Antonacci grouped assets in pairs that share a risk premium: two kinds of stocks, two kinds of credit, two kinds of real estate, and two assets that tend to do well in economic stress. Within each pair, relative momentum picks the stronger asset. Absolute momentum then checks that the winner beat Treasury bills, and holds bills if it did not. Because the four modules move independently, the portfolio rarely goes entirely to cash.

How it works#

The portfolio has four equal modules of 25%. At the close of the last trading day of each month, each module compares the 12-month returns of its pair:

  • Stocks: US stocks (SPY) or developed-market stocks (EFA)
  • Credit: high-yield bonds (HYG) or investment-grade corporate bonds (LQD)
  • Real estate: equity REITs (VNQ) or mortgage REITs (REM)
  • Economic stress: gold (GLD) or long-term Treasuries (TLT)

Each module holds the stronger of its pair if that asset's 12-month return beat Treasury bills (BIL), and holds bills otherwise.

What the backtest shows#

The ETF test starts in mid-2008, because the mortgage REIT fund launched in 2007. Over that period Composite Dual Momentum was steady but slow. It compounded at about 6% a year with a worst drawdown near 22%, in the 2020 crash, and it trailed a plain 60/40 portfolio on risk-adjusted return.

Its diversification helped in 2008, which it finished slightly up. It helped less in 2022, when stocks, bonds, credit, and real estate all fell and it lost about 10%. It gained almost nothing in 2023 while the S&P 500 rose by a quarter, then had strong years in 2024 and 2025.

Simulated history cannot take this strategy further back: no reference history exists for the mortgage REIT fund.

When it struggles#

  • Everything falling together. In 2022 most of its pairs fell at once, and the absolute momentum test turned them to bills only after the losses.
  • Strong stock markets. Only a quarter of the portfolio can hold stocks.

Using it on Tactfolio#

The live strategy above runs these rules on daily data. Copy it to swap a pair, for example intermediate Treasuries for long ones, or to weight the modules differently.

Year by year

YearStrategySPY
2026*0.6%14.0%
202519.7%17.7%
202415.3%24.9%
2023-0.3%26.2%
2022-9.8%-18.2%
20219.3%28.7%
20203.1%18.3%
201913.9%31.2%
2018-6.0%-4.6%
201712.3%21.7%
2016-1.5%12.0%
2015-2.5%1.2%
201413.4%13.5%
20134.5%32.3%
201210.5%16.0%
20118.9%1.9%
201019.1%15.1%
20094.9%26.4%
2008*2.4%-34.3%

* Partial year.

The rules as implemented

This is the exact tree Tactfolio runs, rebalanced monthly with signals and trades at the close. Open it to inspect or copy it.

  • StrategyAntonacci Composite Dual Momentum
    • WeightEqual
      • IfAny of 2 conditions
        • 252d cumulative return of SPY is above 252d cumulative return of BIL
        • 252d cumulative return of EFA is above 252d cumulative return of BIL
        Then
        • WeightEqual
          • RankTop 1 · 252d cumulative return
            • TickerSPY
            • TickerEFA
        Otherwise
        • WeightEqual
          • TickerBIL
      • IfAny of 2 conditions
        • 252d cumulative return of HYG is above 252d cumulative return of BIL
        • 252d cumulative return of LQD is above 252d cumulative return of BIL
        Then
        • WeightEqual
          • RankTop 1 · 252d cumulative return
            • TickerHYG
            • TickerLQD
        Otherwise
        • WeightEqual
          • TickerBIL
      • IfAny of 2 conditions
        • 252d cumulative return of VNQ is above 252d cumulative return of BIL
        • 252d cumulative return of REM is above 252d cumulative return of BIL
        Then
        • WeightEqual
          • RankTop 1 · 252d cumulative return
            • TickerVNQ
            • TickerREM
        Otherwise
        • WeightEqual
          • TickerBIL
      • IfAny of 2 conditions
        • 252d cumulative return of GLD is above 252d cumulative return of BIL
        • 252d cumulative return of TLT is above 252d cumulative return of BIL
        Then
        • WeightEqual
          • RankTop 1 · 252d cumulative return
            • TickerGLD
            • TickerTLT
        Otherwise
        • WeightEqual
          • TickerBIL

Sources and caveats

  • ETFs stand in for the paper's indexes: SPY and EFA, HYG and LQD, VNQ and REM, GLD and TLT, with BIL for 90-day Treasury bills. LQD is broader than the paper's intermediate credit index.
  • Signals and trades use the close of the last trading day of each month, as in the source.

Common questions#

What is Composite Dual Momentum?#

It is Gary Antonacci's diversified dual momentum model: four equal modules (stocks, credit, real estate, and economic stress), each holding the stronger of two assets while it beats Treasury bills.

How is it different from Global Equities Momentum?#

Global Equities Momentum makes one choice between US stocks, foreign stocks, and bonds. The composite version makes four independent choices across different risk premia, so it is more diversified and usually less volatile.

What ETFs does Composite Dual Momentum use?#

SPY and EFA, HYG and LQD, VNQ and REM, GLD and TLT, with BIL as the Treasury bill benchmark.

Does Composite Dual Momentum still work?#

Since the paper appeared in 2012 it has made money with moderate drawdowns, but it has trailed a 60/40 portfolio. The live record on Tactfolio shows how it is doing now.