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Dual Momentum: US vs International Stocks or T-Bills vs Top-16 Blue Chips by 1-Year Momentum

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

dual momentum, global equities, monthly rotation, risk management, trend-following

concentrated (16 stocks), equal‑weight, global equities, large‑cap blue chips, momentum (12‑month), monthly rebalance, rule‑based

Asset classes / instruments

equities

Market-relative

Alpha vs SPY, out-of-sample (out-of-sample)

-0.02

—

Beta vs SPY, out-of-sample (out-of-sample)

1.04

—

Correlation (R) vs SPY, out-of-sample (out-of-sample)

0.91

—

Trading activity

Annualized turnover, backtest period (backtest)

1.69

—

Annualized turnover, out-of-sample period (out-of-sample)

1.84

—

Daily win rate, backtest period (backtest)

53.31%

—

Daily win rate, out-of-sample period (out-of-sample)

55.61%

—

Backtest

Backtest final value (from $10,000)

$45k

—

Backtest regulatory fees

$14

—

Backtest slippage cost

$119

—

Returns

Backtest length

4,626

—

Out-of-sample length

410

—

Return, backtest period (annualized) (backtest)

8.59%

—

Return, backtest period (cumulative) (backtest)

354.42%

—

Return, out-of-sample period (annualized) (out-of-sample)

19.24%

98.10%

Return, out-of-sample period (cumulative) (out-of-sample)

32.68%

4.72%

Return, trailing 1 day (out-of-sample)

-0.56%

—

Return, trailing 1 month (out-of-sample)

-2.78%

-6.75%

Return, trailing 1 week (out-of-sample)

-1.36%

—

Return, trailing 1 year (backtest)

16.56%

—

Return, trailing 1 year (out-of-sample)

18.66%

34.18%

Return, trailing 2 weeks (out-of-sample)

-2.99%

—

Return, trailing 3 months (out-of-sample)

-0.19%

0.98%

SPY annualized return over the backtest window (backtest)

11.73%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.25

—

Calmar ratio, out-of-sample period (out-of-sample)

1.31

39.39

Maximum drawdown, backtest period (backtest)

-33.72%

—

Maximum drawdown, out-of-sample period (out-of-sample)

-14.71%

-2.49%

Sharpe ratio, backtest period (backtest)

0.61

—

Sharpe ratio, out-of-sample period (out-of-sample)

1.00

5.75

Sortino ratio, backtest period (backtest)

0.85

—

Sortino ratio, out-of-sample period (out-of-sample)

1.40

—

Standard deviation, backtest period (backtest)

15.35%

—

Standard deviation, out-of-sample period (out-of-sample)

19.62%

12.78%

Quality

Community review status

ACTIVE

—

Holdings

Concentration (Herfindahl index, out-of-sample, as Composer reports it)

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

Popularity

Remixes (copies)

—

Watchers

—

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources