If you are using the Dual Momentum model to manage a portfolio, based on 2/26/2020 closing data, the recommendation is to move from U.S. Equities to U.S. Treasuries (TLT). If you are not using TLT, move to your bond ETF such as AGG or BND.
Lowell
Mariusz,
The Dual Momentum I use is different from Gary Antonacci's model in that I am using two shorter look-back periods rather than the 12-month look back. That means the DM I am using will react faster to market changes.
The look-back periods are given different weights. In addition, there is a volatility factor which receives a 20% weight. This is not part of the classic Antonacci model.
In addition to bonds (AGG) as the place to flee when equities are out of favor, I've added TLT or a treasury bond ETF.
These are the major differences or variations from the Antonacci model.
Ask again if I have not fully answered your questions.
Lowell
@snicky
Yes, the shorter periods will trigger more whipsaws. Those look-back periods (60 and 100 trading days) come from numerous back testing. If one wishes to use the one-year look-back, the spreadsheet allows for those changes.
I rarely change the Main Menu default settings as I don't have any back tests to support the changes.
Lowell
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