Followers of the Dual Momentum Model (DMM) are familiar with the basic ideas laid out in Gary Antonacci’s book by the same name. In this blog post I’ll go through the basics of the DM model, and then add a few twists if readers are interested. First we begin with the Main Menu.
Main Menu: The key settings are to use a look-back period of 252 trading days, only one security included in portfolio, and 100% allocated to the 252 day look-back. The Dual Momentum settings are shown below.
Dual Momentum Recommendations: Using the above Main Menu settings and three ETFs, VTI is the current recommendation. This will change in the future, but for now (3/4/2017), invest 100% in VTI.
Main Menu Plus: Tweaking the Dual Momentum Model (DMM) we revert back to the Tranche Momentum Model Main Menu settings. Two look-back periods plus volatility enter into the calculations. These settings look familiar to momentum investors.
Dual Momentum Plus Recommendations: Despite the changes in the look-back periods and including a volatility calculation, VTI is still the number one recommended ETF. The additional tweaks did not change the overall recommendations.
To listen to the material covered in this blog, I created a “Camtasia” and here is the link.