Dual Momentum: Historical Performance - Dual Momentum Portfolios

RE: Dual Momentum: Historical Performance

Lowell Herr — Sun, 12 Mar 2023 13:59:54 +0000

@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.

Lowell

RE: Dual Momentum: Historical Performance

ITAChristian Perera — Thu, 09 Mar 2023 03:17:31 +0000

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?

RE: Dual Momentum: Historical Performance

Lowell Herr — Sat, 16 Jul 2022 20:09:27 +0000

The above link will take you to a Portfolio Visualizer site.

Lowell

Dual Momentum: Historical Performance

Lowell Herr — Sun, 27 Jun 2021 18:36:33 +0000

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.

Lowell