[Sticky] Dual Momentum: Historical Performance
Investors interested in the Dual Momentum model will find this link of interest. I substituted EFA for VEU to add a few years of performance.
The above link will take you to a Portfolio Visualizer site.
Great work Lowell!
I noticed you use a 3 month lookback period. Could you kindly provide your thoughts on using various lookback periods (3 month, 6 month, 1 year, etc.) and what worked best?
@csperera - The default look-back built into the Kipling spreadsheet is 60 and 100 trading days. Those values come from extensive testing by Hedgehunter, developer of the Kipling spreadsheet.
Gary Antonacci recommends using a one-year or 252 trading days look-back for the Dual Momentum model. I tend to waffle and go back and forth between the two.
Recently, I'm favoring longer look-back periods as they seem to be working better and there is less portfolio churning. This is particularly important for taxable portfolios.