From time to time I run an analysis on the Dual Momentum portfolio. This morning you will find a slight modification to the three ETF variety as I added BND, AGG, TLT, and TIP as possible bond alternatives should neither VTI or VEU rank above SHY. You will recall the rules for the Dual Momentum (DM) portfolio state that should neither VTI or VEA rank above the SHY cutoff, all money is invested in Bonds. But which bond? In this example, I am ranking five bond equivalent options. The options are moot this morning as 100% of the portfolio is invested in U.S. Equities or VTI. This has been the case for more than two weeks.
Main Menu: In case you forgot the settings for the Dual Momentum portfolio, here they are. The look-back period is one-year or 252 trading days. Only one ETF is used at a time as we go 100% with the recommendation.
Dual Momentum Recommendations; While the Tranche Momentum worksheet is designed for a more complicated portfolio, it works fine for the Dual Momentum model. For a $100,000 portfolio we invest or purchase 880 shares of VTI. Of all the ETF options, only VTI is priced above its 195-Day EMA and it is the only ETF with a positive “Golden Cross” signal. That is the X/O column.
The decision is quite easy as we put all our eggs in VTI and leave it there for 33 days. If you wish, you can run the Dual Momentum analysis at the close of every trading day to see if anything changed. The author of the DM strategy recommends running the analysis at the end of each month.