Dual Momentum: Antonacci’s Global Equities Momentum (GEM)
Gary Antonacci's Global Equities Momentum. Each month it holds whichever of US stocks and non-US stocks had the higher 12-month return, but only while US stocks beat Treasury bills over the same year; otherwise it holds aggregate US bonds.
Designed by Gary Antonacci, 2014. Implemented and tracked by Tactfolio.
| May 2008 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 9.3% | 11.8% |
| Worst drawdown | -33.7% | -50.7% |
| Sharpe ratio | 0.63 | 0.67 |
| Volatility | 16.1% | 19.7% |
| Annual return since publication (Nov 2014) | 8.2% | 13.8% |
| Jun 1991 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 11.9% | 10.9% |
| Worst drawdown | -33.7% | -55.2% |
| Sharpe ratio | 0.82 | 0.66 |
| Volatility | 15.0% | 18.3% |
| Annual return since publication (Nov 2014) | 8.2% | 13.8% |
Dual Momentum, in the form Gary Antonacci calls Global Equities Momentum (GEM), is the best-known strategy from his 2014 book Dual Momentum Investing. Once a month it chooses between US stocks, stocks outside the US, and bonds, using just two questions about the past twelve months.
The idea#
Antonacci combined two kinds of momentum. Relative momentum compares assets with each other and picks the one that has risen more. Absolute momentum compares an asset with Treasury bills and asks whether it has earned anything above cash at all. Relative momentum keeps you in the stronger market; absolute momentum takes you out of stocks when stocks as a whole stop paying for their risk.
The appeal is simplicity. GEM holds one fund at a time and changes it only a few times a year.
How it works#
At the close of the last trading day of each month:
- Compare the 12-month return of the S&P 500 (SPY) with that of Treasury bills (BIL).
- If US stocks beat bills, hold whichever of US stocks (SPY) and stocks outside the US (VEU) had the higher 12-month return.
- If US stocks did not beat bills, hold US aggregate bonds (AGG).
This follows the rule as set out in the book, where US stocks are tested against bills first.
What the backtest shows#
Over the ETF era, from mid-2008, GEM returned a little less than the S&P 500 with a smaller worst drawdown, and it trailed a plain 60/40 stock and bond mix on risk-adjusted return. Its best moment was the one it was designed for: from late May 2008, when the test begins, it gained while the S&P 500 lost a third.
Its worst moment shows the cost of checking once a month on a 12-month signal. It was fully in stocks when the market fell in February and March 2020, lost about a third, and took until early 2021 to recover. In 2022 it lost 17%, almost as much as the S&P 500.
With simulated history the test starts in 1991 and returns more, about 12% a year. It lost 18% in 2000, more than the S&P 500, but gained in 2001 and 2002 while the market kept falling. The 2020 drawdown remains its worst.
When it struggles#
- Sudden crashes. A 12-month signal checked monthly cannot react to a decline that happens within weeks.
- Falling bonds. When stocks and bonds fall together, the bond fallback does not protect.
- Leadership changes. When US and foreign stocks trade places often, it can switch late each time.
Using it on Tactfolio#
The live strategy above runs these rules on daily data. Copy it to try a shorter lookback, a different bond fund, or Treasury bills as the safe asset.
Year by year
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 15.7% | 14.0% |
| 2025 | 14.7% | 17.7% |
| 2024 | 24.9% | 24.9% |
| 2023 | 8.1% | 26.2% |
| 2022 | -17.0% | -18.2% |
| 2021 | 25.1% | 28.7% |
| 2020 | 2.4% | 18.3% |
| 2019 | 18.5% | 31.2% |
| 2018 | -8.2% | -4.6% |
| 2017 | 20.8% | 21.7% |
| 2016 | 6.7% | 12.0% |
| 2015 | -6.8% | 1.2% |
| 2014 | 13.5% | 13.5% |
| 2013 | 28.8% | 32.3% |
| 2012 | 15.9% | 16.0% |
| 2011 | -0.2% | 1.9% |
| 2010 | 4.0% | 15.1% |
| 2009 | 10.1% | 26.4% |
| 2008* | 6.4% | -34.3% |
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 15.7% | 14.0% |
| 2025 | 14.7% | 17.7% |
| 2024 | 24.9% | 24.9% |
| 2023 | 8.1% | 26.2% |
| 2022 | -17.0% | -18.2% |
| 2021 | 25.1% | 28.7% |
| 2020 | 2.4% | 18.3% |
| 2019 | 18.5% | 31.2% |
| 2018 | -8.2% | -4.6% |
| 2017 | 20.8% | 21.7% |
| 2016 | 6.7% | 12.0% |
| 2015 | -6.8% | 1.2% |
| 2014 | 13.5% | 13.5% |
| 2013 | 28.8% | 32.3% |
| 2012 | 15.9% | 16.0% |
| 2011 | -0.2% | 1.9% |
| 2010 | 4.0% | 15.1% |
| 2009 | 10.1% | 26.4% |
| 2008 | -2.8% | -36.8% |
| 2007 | 16.8% | 5.1% |
| 2006 | 26.6% | 15.8% |
| 2005 | 15.6% | 4.8% |
| 2004 | 20.8% | 10.7% |
| 2003 | 23.3% | 28.2% |
| 2002 | 0.2% | -21.6% |
| 2001 | 8.4% | -11.8% |
| 2000 | -18.3% | -9.7% |
| 1999 | 21.1% | 20.4% |
| 1998 | 28.7% | 28.7% |
| 1997 | 33.5% | 33.5% |
| 1996 | 22.5% | 22.5% |
| 1995 | 33.5% | 38.0% |
| 1994 | 6.2% | 0.4% |
| 1993 | 13.2% | 9.7% |
| 1992 | 7.6% | 7.6% |
| 1991* | 14.1% | 11.6% |
* 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 Global Equities Momentum
- WeightEqual
- If252d cumulative return of SPY is above 252d cumulative return of BILThen
- WeightEqual
- RankTop 1 · 252d cumulative return
- TickerSPY
- TickerVEU
- RankTop 1 · 252d cumulative return
Otherwise- WeightEqual
- TickerAGG
- WeightEqual
- If252d cumulative return of SPY is above 252d cumulative return of BIL
- WeightEqual
Sources and caveats
- Gary Antonacci, Dual Momentum Investing (2014) and FAQ
- Gary Antonacci, Risk Premia Harvesting Through Dual Momentum (2012)
- Follows the book's page 98 rule: the S&P 500's 12-month return is tested against Treasury bills first. SPY, VEU, AGG, and BIL stand in for the S&P 500, MSCI ACWI ex-US, the Barclays US Aggregate, and 90-day Treasury bills.
- Signals and trades use the close of the last trading day of each month, as in the source.
Common questions#
What is dual momentum?#
It is Gary Antonacci's combination of relative momentum (holding the stronger of two assets) and absolute momentum (holding an asset only while it beats Treasury bills). His Global Equities Momentum model applies it to US stocks, non-US stocks, and bonds.
What ETFs does GEM use?#
SPY for US stocks, VEU for stocks outside the US, AGG for bonds, and BIL as the Treasury bill benchmark for the absolute momentum test.
How often does Dual Momentum trade?#
It checks once a month and usually switches only a few times a year.
Does dual momentum still work?#
Since the book was published in late 2014 it has made money but trailed the S&P 500, and its sharpest loss came in 2020. The live record on Tactfolio shows how it is doing now.