Gary Antonacci’s Dual Momentum model is easy to understand and implement, particularly if one has access to the Kipling 8.1 spreadsheet. The following modifications are primarily related to the securities I am using for U.S. Equities, International Equities, and Bonds.
- Select three securities to represent U.S. Equities, International Equities, and Bonds. My respective choices are: VTI, VEU, and AGG. VEU is selected instead of VEA as it includes emerging market stocks whereas VEA does not.
- Use SHY as the cutoff for the absolute momentum filter.
- When ranking the ETFs, use 365 calendar days and apply a weight of 100% to ROC1. This ranking is how relative momentum is applied as we are seeking the highest performing equities ETF. That will be either VTI or VEU.
- Look for the top ranking ETF between VTI and VEU and invest 100% in the highest ranking ETF, but only if it is performing above SHY over the last 365 calendar days. In the rankings below, VTI is the top performer so one would be 100% invested in VTI.
- Should neither VTI or VEU be outperforming SHY, invest 100% of the portfolio in AGG, the bond ETF.
That is it. Just a few simple rules to follow. Update the portfolio every month or every 33 days as I prefer.
Dual Momentum Recommendations: In the following screenshot, the Kipling 8.1 has been adapted to mirror the Dual Momentum model. ROC1 is set to 365 calendar days with a 100% weight. This recommendation comes right out of Antonacci’s Dual Momentum book. There is no secondary look-back period and no weight is assigned to volatility.