Antonacci's Dual Momentum

Key Facts

  • momentum strategy
  • rebalances monthly
  • invests in
    • U.S. equities
    • U.S. Treasury bonds
    • REITs
    • corporate bonds
    • gold




Gary Antonacci is an industry veteran with over 35 years of experience as an investment professional. Gary published the Dual Momentum strategy in his book Dual Momentum Investing, which he released in 2015.

Our version of Dual Momentum uses a fixed allocation towards five asset classes: U.S. equities, Treasury bonds, REITs, corporate bonds, and gold. The strategy invests in each of these asset classes, if the asset's return exceeds that of a T-bill. Otherwise, Antonacci’s strategy invests in the aggregate bond market.

Dual Momentum rebalances the portfolio once per month. In conjunction with the low number of traded ETFs, this leads to very low maintenance requirements.


The chart above shows the portfolio's historical performance and drawdowns, compared to their benchmark, throughout the simulation. The chart below shows the portfolio's annual returns:

This table shows the performance metrics for Antonacci's Dual Momentum:

Asset Allocation

The portfolio last required rebalancing after the exchange's close on n/a. Due to fluctuations in asset prices and portfolio values, the exact allocations vary daily. The current asset allocation is as follows:


Strategy Rules

Antonacci’s book portraits multiple flavors of Dual Momentum portfolios. Most people think of Antonacci's Global Equities Momentum when they hear Dual Momentum. We track a very similar portfolio on, please check Engineered Portfolio's Accelerating Dual Momentum.

We decided to implement the Parity Portfolio with Absolute Momentum (described in appendix B) instead, because we believe it to have better risk/ return characteristics. The operation of this strategy can be summarized as follows:

  • trade U.S. stocks, U.S. Treasuries, REITs, credit bonds, gold
  • invest 20% in each asset class, if its 12-months momentum is larger than that of a T-bill
  • otherwise, invest those 20% in the aggregate bond market

For full detail, we recommend reading Antonacci's book Dual Momentum Investing. Further, the full C# source code is available as part of the open-source project.

Like many portfolios of this kind, Antonaci’s strategy follows a ‘win more by losing less’ philosophy: it will generally lead passive portfolios during recessions, but lag during bull markets. Therefore, investors should always contemplate the strategy’s performance over the full economic cycle.


As Dual Momentum uses an equal allocation toward all major asset classes, it stays well diversified under all market conditions. Furthermore, this allocation can be considered quite conservative, allowing investors to allocate 100% of their capital toward the strategy, or even apply leverage.

Returns & Volatility

While Dual Momentum‘s return is only about on par with the classic 60/40 over the last economic cycle, it shows considerably lower volatility. Notably, the strategy has managed the 2008 recession very well, while average drawdowns outside of recessions are comparable to a 60/40.

Unlike many other momentum strategies, Dual Momentum showed very docile behavior during the problematic markets of 2015 and 2018.

The Monte-Carlo simulation supports these observations. The median returns are about on par with a passive 60/40, but with a much flatter curve. At the same time, Dual Momentum cuts the downside roughly in half.

Account & Tax Considerations

When Dual Momentum changes its selection of ETFs, it triggers taxable events. However, due to each asset class only switching between risk-on and risk-off behavior, this only happens infrequently. While the strategy still works best in tax-deferred accounts, there is a good chance of holding assets long enough to qualify for long-term taxation of capital gains.

Dual Momentum invests in up to five ETFs simultaneously. Therefore, it works well with account sizes of $5,000 or more.