Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · Core

Dual momentum

Based on Antonacci, 2014

CoreRisk onHypotheticalNext rebalance Dec 1, 2026

At the Nov 3, 2026 close Dual momentum is risk on and holds ACWX 100%. Hypothetical back-test since 2010: +8.7% a year against ACWI’s +10.6%, deepest fall −31.8%.

IQ · Nov 3, 2026

Scorecard window, Feb 12, 2010 to Nov 3, 2026

Paper recordNot startedStarts Nov 4, 2026

Back-test, a year+8.7%vs ACWI +10.6%

Max drawdown−31.8%vs ACWI −32.1%

Sharpe0.53vs ACWI 0.61

Turnover191%a year

Funds1held now

Growth of $10,000

Feb 2010 to Nov 3, 2026 · after costs

Nov 3, 2026Back-testStrategy$39,376+293.8%ACWI$53,195+432.0%

$10,000$20,000$53.2k$39.4k

Feb 2010Jun 2013Oct 2016Feb 2020Jun 2023Nov 2026

StrategyACWIBack-testPaper record

Drawdown

Fall from the last high

Strategy worst −31.8%ACWI worst −32.1%

−30%−20%−10%0%

Feb 2010Jun 2013Oct 2016Feb 2020Jun 2023Nov 2026

Rolling 12-month return

+14.2%+13.4%

0%+10%+20%+30%+40%

Nov 2024Jul 2025Mar 2026Nov 2026

Rolling 12-month Sharpe

0.850.97

0.01.02.0

Nov 2024Jul 2025Mar 2026Nov 2026

Holdings now

Nov 3, 2026 close

ACWXiShares MSCI ACWI ex U.S. ETF100.0%

Signals

Hold US stocks or foreign stocks, whichever gained more over 12 months, if they beat T-bills. Otherwise hold bonds.

1 in · 2 out

Nearest to flipping

Fund12-monthRankDistance to flipState

SPY+11.6%1.6 ptsTrailing

ACWX+13.2%1.6 ptsLeader

AGG+3.9%9.3 ptsOut

Fund12-monthRankDistance to flipState

SPY+11.6%1.6 ptsTrailing

ACWX+13.2%1.6 ptsLeader

AGG+3.9%9.3 ptsOut

Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

Points (pts) are percentage points.

Date	Action	Fund	Price	Weight	Reason	Record
Oct 31, 2025	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Oct 31, 2025	In	ACWX	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2025	In	SPY	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2025	Out	ACWX	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jun 30, 2025	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jun 30, 2025	In	ACWX	at close	100.0%	Rule added it. Next close, after costs.	Back-test
May 30, 2025	In	SPY	at close	100.0%	Rule added it. Next close, after costs.	Back-test
May 30, 2025	Out	ACWX	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2025	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2025	In	ACWX	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Nov 30, 2023	In	SPY	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Nov 30, 2023	Out	ACWX	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Sep 29, 2023	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Sep 29, 2023	In	ACWX	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Jun 30, 2023	In	SPY	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Jun 30, 2023	Out	AGG	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
May 31, 2023	In	AGG	at close	100.0%	Rule added it. Next close, after costs.	Back-test
May 31, 2023	Out	ACWX	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 28, 2023	Out	AGG	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 28, 2023	In	ACWX	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Apr 29, 2022	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 29, 2022	In	AGG	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Jun 30, 2021	In	SPY	at close	100.0%	Rule added it. Next close, after costs.	Back-test
Jun 30, 2021	Out	ACWX	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test

No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3

Dec 2025	Jan 2026	Feb 2026	Mar 2026	Apr 2026	May 2026	Jun 2026	Jul 2026	Aug 2026	Sep 2026	Oct 2026	Nov 2026
2.6	5.4	5.2	−8.0	7.5	3.9	0.6	−1.1	2.9	−2.3	−2.9	−0.2

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year	ACWI
2026*	5.4	5.2	−8.0	7.5	3.9	0.6	−1.1	2.9	−2.3	−2.9	−0.2		10.4	10.9
2025	2.7	−1.3	−5.6	−0.9	5.4	5.7	−1.2	3.3	3.6	2.4	0.1	2.6	17.4	20.8
2024	1.6	5.2	3.3	−4.0	5.1	3.5	1.2	2.3	2.1	−0.9	6.0	−2.4	24.9	19.0
2023	3.3	−2.7	2.6	0.6	−4.6	0.9	3.0	−1.6	−4.7	−2.0	8.3	4.8	7.4	22.3
2022	−5.3	−3.0	3.8	−8.8	1.9	−1.6	2.5	−3.0	−4.1	−1.3	3.8	−0.9	−15.5	−18.4
2021	−1.0	2.8	4.5	5.3	0.7	−1.5	1.9	3.0	−4.7	7.0	−0.8	4.6	23.4	18.7
2020	0.0	−7.9	−12.5	−2.5	0.7	1.3	5.9	7.0	−3.7	−2.5	10.9	3.7	−2.1	15.9
2019	0.9	−0.1	1.0	4.1	−6.4	7.0	1.5	−1.7	1.9	2.2	3.6	2.9	17.7	27.7
2018	5.5	−5.0	−0.7	0.6	−1.9	0.3	3.7	3.2	0.6	−6.9	1.9	−8.8	−8.3	−9.6
2017	1.8	3.9	0.1	1.0	1.4	0.4	3.5	0.4	2.0	1.9	0.4	2.0	20.6	24.3
2016	−5.0	1.0	0.9	−0.4	0.9	0.1	3.6	0.1	0.0	−1.7	3.7	2.0	5.0	8.4
2015	−3.0	5.6	−1.6	1.0	1.3	−2.0	2.2	−6.1	−2.5	0.3	−1.0	−1.7	−7.8	−3.9
2014	−3.5	4.6	0.8	0.7	2.3	2.1	−1.3	3.9	−1.4	2.4	2.7	−0.3	13.5	6.3
2013	3.5	1.2	3.8	1.9	2.4	−1.3	5.2	−3.0	3.2	4.6	3.0	2.6	30.2	23.5
2012	4.6	4.3	3.2	−0.7	−6.0	−2.8	1.1	2.5	2.5	−1.8	0.6	0.9	8.2	15.0
2011	2.3	3.5	0.0	2.9	−3.0	−1.2	−2.7	−5.8	−6.9	10.9	−0.4	1.0	−0.6	−7.8
2010		−0.7	6.8	−2.3	−8.4	−5.2	6.8	−4.5	9.0	3.8	0.0	6.7	10.8	16.9

Scorecard

vs ACWI · back-test Feb 12, 2010 to Nov 3, 2026 · after costs

+8.7% a year vs ACWI +10.6%.Max drawdown −31.8% vs −32.1%.

Return

MeasureStrategyACWIEdge

Total return+304%+440%ACWI

Annualised+8.7%+10.6%ACWI

Risk

MeasureStrategyACWIEdge

Volatility14.9%16.2%Strategy (slight)

Max drawdown−31.8%−32.1%Tie

Upside capture76.8%100.0%ACWI

Downside capture88.7%100.0%Strategy

Beta0.831.00Lower

Risk-adjusted

MeasureStrategyACWIEdge

Sharpe ratio0.530.61ACWI

Sortino ratio0.740.87ACWI

Calmar ratio0.270.33ACWI

Alpha, a year−0.2%n/aNot significant

Costs and taxes

MeasureStrategyACWIEdge

Turnover, a year191%n/a

Cost drag, a year−0.06%n/a

Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 1.5% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.

t = −0.13Alpha of −0.2% a year is not significant, on back-test data.

191%turnover a year. Costs take 0.1 points.

MethodSource, rules, funds and limitsOpen ↓

SourceAntonacci, G. (2014). Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. McGraw-Hill (book); working paper: Risk Premia Harvesting Through Dual Momentum, SSRN 2042750 (2012). ↗

VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies

Exact rules

Hold US stocks or foreign stocks, whichever gained more over 12 months, if they beat T-bills. Otherwise hold bonds.
A rule reads the close of the last trading day of the month and trades at the next close.
The universe is 3 funds; the benchmark is iShares MSCI ACWI ETF (ACWI).
It is checked at each month end.

What we cannot measure

Antonacci tests the S&P 500 index and MSCI ACWI ex-US index; the ETFs here start later.
Taxes on each switch.

Fund list · 3 funds

SPY ACWX AGG

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ETFIQ Strategy Lab, Dual momentum, data as of Nov 3, 2026. https://etfiq.com/models/strategies/dual-momentum/

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo.

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