Accelerating Dual Momentum

New York Stock Exchange
USD

Accelerating Dual Momentum is a tactical asset allocation strategy developed by EngineeredPortfolio.com. They introduced their Accelerating Dual Momentum strategy in mid-2018. It is based on Gary Antonacci's Dual Momentum strategy, with its main difference being that it uses an International Small Caps fund instead of simply an International fund, and is also more reactive to short-term changes due to its shorter look-back time periods.

Accelerating Dual Momentum aims to avoid the S&P 500's worst drawdowns but tracks the index closely during bullish periods. Investors thus get the best of both worlds, they do not miss out on gains during positive market years while being protected during major downturns.

The portfolio is rebalanced once a month and only holds a single ETF at any given time, which makes it very easy to replicate and does not require a lot of time to do so.

Accelerating Dual Momentum picks between 2 equity indices when markets have a positive momentum, namely S&P 500 or an International Small Caps fund, depending on which performs best. If neither are positive, the portfolio will invest in Long-term U.S. Treasury bonds.

31 July 1975  –  28 January 2022
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
16.8%
Accelerating Dual Momentum
10.48%
S&P 500 (US Large Cap)
Sharpe Ratio
1.26
Accelerating Dual Momentum
0.66
S&P 500 (US Large Cap)
Maximum Drawdown
-34.7%
Accelerating Dual Momentum
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric Accelerating Dual Momentum S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $13,756,224 $1,033,922
Returns
Month-To-Date -6.95% -6.95%
Year-To-Date -6.95% -6.95%
3M -2.3% -2.3%
6M 1.4% 1.4%
Annual Return (1Y) 16.4% 19.63%
Annual Return (3Y) 17.49% 20.81%
Annual Return (5Y) 15.86% 16.12%
Annual Return (10Y) 10.55% 15.09%
Annual Return (All) 16.8% 10.48%
Enh Ann Return 17.14% 11.84%
Best Year 65.79% 38.03%
Worst Year -18.19% -36.81%
Risk
Annual Volatility 13.06% 17.48%
Max Drawdown -34.7% -55.2%
Sharpe Ratio 1.26 0.66
Sortino Ratio 1.8 0.93
Adjusted Sortino (S/√2) 1.27 0.65
Ulcer Index 0.09 0.13
Gain to Pain Ratio 0.28 0.14

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on July 1975.
  • Final balance: The amount of capital we've accrued over time as of January 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 46 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Chart

Table

Year Accelerating Dual Momentum S&P 500 (US Large Cap) Won
1975 -1.31% -2.4%
1976 16.31% 24.33%
1977 20.4% -11.68%
1978 35.1% 0.77%
1979 5.96% 11.67%
1980 20.31% 28.17%
1981 -9.65% -8.47%
1982 38.03% 19.3%
1983 18.84% 17.15%
1984 12.56% 3.69%
1985 51.38% 22.71%
1986 53.69% 9.31%
1987 26.06% 4.7%
1988 25.79% 16.22%
1989 20.41% 31.37%
1990 -0.15% -3.33%
1991 21.7% 30.19%
1992 5.38% 8.21%
1993 19.58% 8.75%
1994 11.77% 0.4%
1995 38.14% 38.03%
1996 9.96% 22.55%
1997 33.48% 33.48%
1998 12.58% 28.69%
1999 25.22% 20.39%
2000 -9.32% -9.73%
2001 -18.19% -11.75%
2002 -1.43% -21.59%
2003 65.79% 28.18%
2004 34.8% 10.7%
2005 14.88% 4.83%
2006 25.3% 15.85%
2007 9.19% 5.14%
2008 17.75% -36.81%
2009 21.11% 26.37%
2010 20.3% 15.06%
2011 30.99% 1.89%
2012 9.6% 15.99%
2013 18.29% 32.31%
2014 10.53% 13.46%
2015 -11.98% 1.25%
2016 2.42% 12%
2017 23.8% 21.7%
2018 7.42% -4.56%
2019 13.12% 31.22%
2020 21.78% 18.37%
2021 25.38% 28.74%
2022 -6.95% -6.95%

Accelerating Dual Momentum had 40 positive years and 8 negative years. That's a positive ratio of 83%.

S&P 500 (US Large Cap) had 38 positive years and 10 negative years. That's a positive ratio of 79%.

Accelerating Dual Momentum had a better yearly return 60% of the time compared to S&P 500 (US Large Cap).

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1975 0% 0% 0% 0% 0% 0% 0% -3.6% -4.1% 4.7% 0.3% 1.7% -1.3%
1976 1.5% 1.3% 4.7% 1.1% -0.4% 0.9% 1% 1% 2.4% -2.1% -0.1% 4% 15.2%
1977 0.5% 1.9% 1.7% 0.8% 0.8% 2.4% 1.4% 1.5% 2.9% 2.6% -1% 3.3% 18.6%
1978 3.2% 0.8% 6.3% 1.4% 1.6% 5.2% 8.4% 3.4% 3.8% 3.9% -8.9% 2.4% 30.2%
1979 2.6% -3% 1.4% 1% -1.7% 2.9% 1.1% 6.1% -0.8% -6.5% 3.8% -0.5% 6.3%
1980 3.1% -0.6% -11.6% 14.1% 5.7% 5.2% 1.4% 1.8% 3.7% 1.9% -0.1% -3.8% 18.9%
1981 -4.4% -0.8% 1.1% -2.6% -2.2% -2.1% -3.2% -5.5% -1.3% 7.7% 11% -6.3% -9.7%
1982 -2.8% 1.6% 2.4% 3.3% 0.8% -2.2% 4.6% 7.8% 2.3% 11.1% 4.2% 0.3% 33.1%
1983 3.4% 2.5% 3.5% 2.5% 0.5% 1.8% -3.8% -0.4% 1.4% -0.8% 3% 3.9% 17.8%
1984 3.8% 0.7% 2.6% 2.4% -8.9% 1.4% 7.4% 2.5% 1.3% 0.2% -1% 0.2% 12.1%
1985 7.6% 1.4% 0% -0.3% 3.2% 3.5% 3.9% 5.5% 5% 5.8% 3.4% 3.5% 41.7%
1986 3.8% 11.4% 11.4% 7.7% 1.9% 1.7% 2.1% 0.9% 0.9% -3.6% 1.9% 4.6% 43.2%
1987 6.1% 5.2% 5.5% 6.4% 1.9% 2% 1.8% 4.4% -2.6% -7.3% -0.1% 0.9% 23.4%
1988 3.9% 3.9% 6.5% 1.1% 1.2% -1.6% 0.1% -3.4% 1.8% 3.2% 4.9% 2% 23.3%
1989 2% 1.7% 0.2% -1.1% 4% -0.6% 9% 1.9% -0.4% -2.3% 3.9% 0.9% 19.1%
1990 1% -5.9% -0.7% -2.8% 10% -0.7% -0.4% -9% 0.8% 2.1% 4.6% 2% 0.5%
1991 7.6% 7.1% 2.4% 0.2% 4.3% -4.6% 4.6% 2.3% -1.7% 1.3% -4% 1% 20.6%
1992 -2% 1.2% -1.9% 2.9% 0.5% -1.5% 4% -1.6% -1.9% 0.5% 3.4% 1.9% 5.7%
1993 0.1% 1.1% 5.1% 9.6% 2.9% -2.7% 4.1% 3.9% -2.2% -3.1% -1.1% 1.2% 18%
1994 9.3% 0.6% -2.6% 1.1% 1.1% 1.3% 1.6% 1.7% -2.3% 2.8% -4% 1.1% 11.4%
1995 3.4% 4.1% 2.8% 3% 4% 2% 3.2% 0.4% 4.2% -0.3% 4.4% 1.6% 32.7%
1996 3.6% 0.3% 1.7% 1.1% 1.1% -1.3% -5.3% -3.3% 2.8% 4.6% 7.3% -2.3% 10.3%
1997 6.2% 1% -4.4% 6.3% 6.3% 4.1% 7.9% -5.2% 4.8% -2.5% 3.9% 1.9% 30.9%
1998 1.3% 6.9% 4.9% 1.3% -2.1% 4.3% -1.4% -14.1% 3.5% -1.7% 4.4% 6.5% 13.6%
1999 3.5% -3.2% 4.2% 3.8% -0.3% 6.6% 3.3% 0.5% -0.6% -1.8% 1.6% 5.7% 23.5%
2000 -5% -1.5% 9.7% -3.5% -1.6% 2% -3.6% 1.8% -5.9% 2.3% -6.6% 3.4% -7.7%
2001 0.3% 1.7% -5.2% -3.4% 0.3% -0.9% -2.2% 2.4% -9.9% 4.7% -5.1% -1.8% -19.2%
2002 -2.8% -1.8% -2.7% 5.4% 6.3% -1.8% -5.3% -0.3% 2.3% -3.7% -0.9% 4.5% -0.6%
2003 -0.6% 0.3% -0.7% 10% 10.1% 5.6% 4.1% 5.5% 5.6% 5.7% 0.4% 6.3% 51.1%
2004 6.1% 3.1% 4.2% -3.5% -1% 4.5% -3.5% 1.2% 2.7% 3.3% 8.8% 5.2% 30.7%
2005 2.8% 4.7% -0.9% -1.9% -1.5% -0.4% 5.1% -0.6% 1.2% -2.3% 1.9% 6.4% 14.3%
2006 7.3% 0.2% 4.8% 4.2% -4.8% -1.9% -0.4% 2.7% 2.2% 3.2% 2% 3.8% 23.4%
2007 2.7% 1.8% 4.3% 3% 1.9% -0.4% -0.3% -4.1% 4.7% 1.4% -3.9% -1.8% 10%
2008 2.1% -0.5% 2.1% -2.5% -2.7% -7.7% -2.5% 2.7% 1.5% -1.9% 14.3% 13.6% 17.9%
2009 -13.1% -1.5% 4% -7% 15% -1.2% 8.7% 5% 7% -2.7% 4.4% 3.7% 22%
2010 -3.1% 0.5% 5.7% 0.5% -8.1% 3.7% -0.9% -4.7% 12.3% 4.7% -2.7% 13.1% 20.4%
2011 -0.8% 1.7% 1.3% 2.6% -2% -2.1% -2.2% 11.2% 13.2% -3.8% 5.2% 4.5% 29.6%
2012 1.2% 4.3% 3.2% -0.7% -6% -4.4% 1.3% 2.5% 2.5% -0.6% 1.3% 5% 9.9%
2013 3% -0.2% 1.1% 1.4% 2.4% -1.3% 5.2% -3% 3.2% 3.6% -0.5% 2.4% 17.4%
2014 -3.5% 4.6% -0.2% 1.1% 2.3% 2.1% -3.3% 3.9% -1.4% 2.4% 2.7% -0.3% 10.7%
2015 -3% 5.6% -1.6% 1% 0.4% -2.3% -2.9% -6.3% -0.7% -0.4% -0.4% -1.7% -11.5%
2016 -5% 2.7% -0.1% 1.5% -0.9% -2% 3.9% 0.1% 0% -3.3% 3.9% 2% 3.6%
2017 1.8% 3.9% 0.1% 2.7% 2.1% 1.2% 3.6% 0.9% 2.1% 1.5% 0.9% 0.8% 21.6%
2018 4.1% -3.2% -2.7% 0.3% -0.1% 0.6% 3.7% 3.2% 0.6% -6.9% 2.6% 5.9% 8.1%
2019 0.4% 3% 1.8% 4.1% -6.4% 0.7% 0.3% -1.7% 1.9% 2.2% 3.6% 2.9% 13%
2020 -3.8% -8.5% 6.9% 1.2% -1.8% 1.2% 5.9% 7% -3.7% -2.5% 13.1% 6.9% 22.8%
2021 -0.6% 4% 2% 4.3% 2.5% -0.1% 2.2% 3% -4.7% 7% -0.8% 4.6% 23.5%
2022 -7% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -7.1%
Pos 68.1% 73.9% 71.7% 76.1% 60.9% 52.2% 65.2% 66% 66% 55.3% 63.8% 83% 85.4%
Avg 1.1% 1.4% 1.8% 1.8% 0.9% 0.5% 1.6% 0.7% 1.3% 0.7% 1.9% 2.7% 15.9%

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolios/assets in question.

Accelerating Dual Momentum

start valley end Drawdown days
2000-03-27 2002-03-14 2003-09-16 -34.7% 1268
2015-05-18 2016-01-20 2017-08-31 -23.98% 836
1980-11-03 1981-09-30 1982-08-27 -22.53% 662
2007-07-20 2008-07-25 2008-12-04 -19.89% 503
2008-12-31 2009-05-01 2009-07-31 -19.42% 212

The Accelerating Dual Momentum took approximately 23 months on average to recover from a major drawdown.

S&P 500 (US Large Cap)

start valley end Drawdown days
2007-10-10 2009-03-09 2012-08-16 -55.2% 1772
2000-03-27 2002-10-09 2006-10-26 -47.5% 2404
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
1987-08-26 1987-10-19 1989-05-19 -33.08% 632
1980-12-01 1982-08-12 1982-10-13 -25.09% 681

The S&P 500 (US Large Cap) took approximately 38 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

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