EP's Accelerating Dual Momentum

Key Facts

  • momentum strategy
  • rebalances monthly
  • invests in
    • U.S. large-cap stocks
    • ex-U.S. mid-cap stocks
    • U.S. treasuries




EngineeredPortfolio.com is a blog site run by Chris Ludlow and Steve Hanly. The two are aerospace/ mechanical engineers with an affinity to business and finance. They introduced their Accelerating Dual Momentum strategy in mid-2018.

Accelerating Dual Momentum aims to avoid the S&P 500's worst drawdowns but track the index closely during bullish periods. These properties make the strategy an easy choice: In good years, investors are not missing out on any gains. And in bad years, investors are protected from big losses.

Thanks to a monthly rebalancing schedule, and to only holding a single ETF at any time, Accelerating Dual Momentum has only minimum 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 EP's Accelerating 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

The operation of Accelerating Dual Momentum can be summarized as follows:

  • trade a universe of S&P 500 (SPY), all-world ex-US small caps (VSS), and long-term treasuries (VGLT)
  • rebalance once per month
  • calculate momentum scores as the sum of the 1-month, 3-month, and 6-month returns
  • if either SPY or VSS have a positive momentum score, invest in the asset with the higher score
  • if SPY and VSS both have negative scores, invest in VGLT

This method closely resembles Antonacci's Global Equity Momentum strategy. However, Engineered Portfolio made important changes to Antoncci's work:

  • modify the momentum function to put additional weight on shorter time periods. This change favors assets with accelerating momentum.
  • replace ACWI with a more mid-cap focused ex-U.S. ETF. This change creates a better diversified universe, allowing to stay longer in risky assets.
  • increase treasury maturity from intermediate to long-term. Thanks to their negative correlation to the S&P 500, this change further improves diversification of the universe.

For a detailed description of Dual Momentum refer to Antonacci's book Dual Momentum Investing. For a detailed explanation of the rationale behind Engineered Portfolio's modifications to Antonacci's strategy, we recommend reading the blog post. It seems that Gary Antonacci is not a big fan of these modifications, as expressed in his blog post addressing Accelerating Dual Momentum. However, we can certainly follow Engineered Portfolio's reasoning.

Our implementation slightly differs from the original blog post. To match the spirit of this site, we are using ETFs instead of mutual funds. Stephen Hanly has done the same in his code on Quantopian. Further, we assume that all orders are submitted after the closing bell of the month's last trading day. This seems to better match the spirit of our site than the model used by PortfolioVisualizer, which trades at the closing bell.

The strategy is part of the TuringTrader.org open-source project. For those interested in diving deeper into the details, we recommend checking out the C# source code in the repository.


The strategy is well diversified in terms of company risk, as it only invests in broad indices. Accelerating Dual Momentum's low beta suggests the strategy also being well-diversified across asset classes. However, because the strategy is only invested in a single asset class at any time, this is not entirely true: The strategy's tail risk in tumultuous times can be identical to that of the individual asset classes.

Returns & Volatility

Accelerating Dual Momentum managed the 2008 recession extremely well. Since then, the strategy tracked the S&P 500 closely, with 2015 being an unfortunate exception. However, it nicely avoided the increased volatility in late 2018.

Compared to a 60/40 portfolio, Accelerating Dual Momentum offers substantially more return with similar drawdowns. While the backtest shows significantly lower drawdowns, our Monte Carlo simulation reveals that Accelerating Dual Momentum has a slightly taller risk profile than a 60/40.

Account & Tax Considerations

When the strategy switches ETFs, it triggers taxable events. In our testing, Accelerating Dual Momentum never held any asset long enough to qualify for long-term capital gains. From a tax perspective, this strategy works best in tax-deferred accounts.

The strategy invests in only a single ETF at a time. Therefore, a minimum capital of $1,000 is all you need to get started.