Dual Momentum (GEM)
The simplest momentum strategy of all - each month you hold either US equities, international equities or bonds. Only one thing at a time.
What Antonacci's Dual Momentum is
Gary Antonacci popularised "dual momentum" in his book Dual Momentum Investing (2014). His best-known portfolio, GEM (Global Equities Momentum), combines two ideas:
- Relative momentum: between US equities and international equities, pick whichever has done better over the last 12 months.
- Absolute momentum: if US equities have not beaten Treasury bills over those 12 months, move to bonds.
Quick facts
- Author
- Gary Antonacci
- Year
- 2014
- Origin
- Book
- Access
- Public and free
- Type
- Tactical
- Assets
- 4
- Frequency
- Monthly
- Difficulty
- Low
Who it is for
Anyone who wants a single decision a month and few trades a year.
Who it is not for
Anyone who cannot stand being 100% in a single asset or having the signal react late to fast declines.
Current signal
Dual Momentum (GEM)
Calculated with the closes of September 30, 2026.
No portfolio changes from last month.
Rules, step by step
At the close of the last business day of each month, using total return over the last 12 months:
- If SPY (S&P 500) has not beaten BIL (1-3 month Treasury bills): 100% goes to AGG (US aggregate bonds).
- If SPY has beaten BIL: buy the better of SPY and ACWX (world equities ex-US), at 100%.
You only trade when the winning asset changes. In practice, in many months there is no order at all.
Our implementation uses the ETF ACWX (MSCI ACWI ex-USA) as the proxy for "international"; its history starts in 2008, which is why our backtest begins in May 2009. Antonacci's original results cover earlier decades using indices.
Backtest and out-of-sample period
With real ETFs from May 2009: 9.4% a year, maximum drawdown -19.9%, volatility 12.8% and Sharpe 0.67. The S&P 500 over the same long period returned 10.8% with a drawdown of -51% (note: the S&P period is longer; use the comparison tool to align dates).
Turnover is low (158% a year), which makes it relatively tax-friendly. The flip side: being all or nothing, its risk is higher than HAA's; when it is wrong, it is wrong at 100%.
Growth of $100 (logarithmic scale) since , with 0.1% costs per trade. Data: US-listed ETFs, total return (dividends reinvested), before taxes.
Drawdowns from peak
| Strategy | CAGR | Volatility | Max drawdown | Sharpe |
|---|
Year by year
| Year | Dual Momentum (GEM) | S&P 500 | 60/40 |
|---|---|---|---|
| 2026 (to Sep 2026) | +13.9% | +12.7% | +5.8% |
| 2025 | +13.5% | +17.7% | +13.8% |
| 2024 | +24.9% | +24.9% | +14.7% |
| 2023 | +9.0% | +26.2% | +17.2% |
| 2022 | -17.0% | -18.2% | -17.0% |
| 2021 | +24.9% | +28.7% | +15.9% |
| 2020 | +2.2% | +18.3% | +15.0% |
| 2019 | +18.1% | +31.2% | +21.9% |
| 2018 | -8.3% | -4.6% | -2.4% |
| 2017 | +20.7% | +21.7% | +14.0% |
| 2016 | +6.5% | +12.0% | +7.6% |
| 2015 | -7.0% | +1.2% | +1.3% |
| 2014 | +13.5% | +13.5% | +11.7% |
| 2013 | +32.3% | +32.3% | +16.9% |
| 2012 | +11.0% | +16.0% | +11.1% |
| 2011 | -0.7% | +1.9% | +7.4% |
| 2010 | +6.8% | +15.1% | +12.8% |
| 2009 | +11.5% | +26.4% | +13.1% |
The first year may be partial. Returns are net of trading costs.
Taxes on rotating
The results above are before taxes. This strategy re-assesses the portfolio every month: historically it turns over an average of 158% of the portfolio a year and spends 13% of months in defensive mode. Every change is a sale.
In most countries each sale of an ETF in a taxable account realises a gain or loss that may be taxed, so rotating monthly is best done inside a tax-advantaged account (such as an IRA or 401(k) in the US, or an ISA or SIPP in the UK) where one is available. Rules vary by country and by account: check yours, or ask a tax adviser. See our methodology for how the results are calculated.
Criticisms and limits
It is all or nothing - being 100% in a single asset takes on its full risks, and the 12-month signal reacts late to fast declines like March 2020. Our rules have been checked against the author's website and secondary sources; the book has not been consulted, so some details, such as the exact comparison period, are still to be verified.
- Very easy to follow: one decision a month with three ETFs.
- Low turnover: few trades, few commissions.
- Concentration: being 100% in a single asset means taking on its full risks (and currency and tax-domicile risks).
- Slow signal: because it looks at 12 months, it reacts late to fast declines like March 2020.
- Its past success is not guaranteed: it depends on momentum patterns continuing to hold.
How to run it
- Wait for the close of the last business day of the month: the signal is calculated with that close.
- Check the current portfolio in this page's signal and compare it with yours.
- Work out the orders with the rebalancing calculator, which flags the tax effect.
- Place them with ETFs on the first business day of the following month.
Similar strategies
Frequently asked questions
What does GEM stand for?
Global Equities Momentum. It is the name of the best-known version of Antonacci's dual momentum.
How many trades does it need a year?
Very few. You only trade when the winning asset changes, which usually happens a few times a year.
Is it better than HAA?
There is no single answer. GEM is simpler and trades less, but it is 100% concentrated in one asset. HAA diversifies across several assets and uses an inflation canary. Compare them with the [comparison tool](/en/compare/) and decide according to your risk tolerance and tax situation.
Sources and review date
- Antonacci, "Dual Momentum Investing" (McGraw-Hill, 2014). Book not consulted directly
- Author's website, Global Equities Momentum (optimalmomentum.com) · accessed October 10, 2026
Page last reviewed on October 10, 2026; figures and signal are recalculated at every monthly close (latest: September 30, 2026). How we work: editorial policy and methodology.
Educational and informational content. It is not investment advice or a personal recommendation. The results shown are historical simulations (backtests) using US-listed ETFs; past performance does not guarantee future results and you may lose some or all of the capital invested. Real returns will depend on your costs, taxes, currency and execution timing.