Update: Dual Momentum August 2018

Update: Dual Momentum August 2018

August 6, 2018 0 By Jeremy




Rules-Based Strategy Update: Dual Momentum Portfolio

Different than the Accelerating Dual Momentum strategy I track and personally investing in, the Dual Momentum strategy is still a momentum based system.  Using the previous 12-month as the indicator, Dual Momentum buys the strongest performing ETF, as long as that ETF is performing better than T-Bills.

The assets that can be held by the system include an S&P 500 fund, an all world ex-US fund, or a total market bond fund.

You can continue to see the progress results of this system by subscribing to the Robotic Investing newsletter. I will email you whenever a new post goes live, including all of the strategy updates I track on the site.

Dual Momentum Portfolio Rules-Based Investing

This system is one of the more complicated strategies tracked on the site, however once you get used to the rules it is not too hard to trade.

Here are the ETFs that the system used (first three can be purchased, and the last one is used only for comparison):

  • SPY – S&P 500 Index ETF
  • VEU- Vanguard FTSE All-World ex-US ETF
  • BND – Vanguard Total Bond Market ETF
  • BIL – SPDR Lehman 1-3 Month T Bill

Here are the system rules:

  1. The Dual Momentum uses four ETFs. Three of them are meant for investment, and the other is meant for comparison only. The three meant for investment are SPY, VEU, and BND. The ETF meant for comparison is BIL.
  2. Calculate the 12-month returns for both SPY and VEU. Choose the ETF that has performed better.
  3. Compare the best performing ETF to the returns of BIL. If it has performed better than BIL, the buy that ETF. If BIL has performed better, then buy BND.
  4. Repeat steps 1 – 3 at the end of each month and replace one of the three ETFs with the strongest performing asset.

Again, it may seem more complicated, but once you put it into practice a few times it is actually very easy to follow.

Monthly Signals: Dual Momentum Portfolio

Each month I generate the signals for the portfolio using TC2000. If you want to give TC2000 a try in order to generate the signals for the strategies on Robotic Investing, then use this link for $25 off.

There is no change for August 2018 – the system continues to SPY.

In order to determine that SPY is the holding for August, I used TC2000 to do a relative comparison graph.  As you can see, SPY has performed better than VEU over the past 12-month period, and is above BIL.

Dual Momentum - July 31, 2018

Strategy Tracking & Performance: Dual Momentum Portfolio

Here is the portfolio tracker and performance chart for the Dual Momentum Portfolio. The Morningstar Portfolio Tracker is used to track all the systems at Robotic Investing.

Each of the portfolios tracked use a hypothetical $50,000 starting value. This portfolio was started on July 2nd, 2018.

Portfolio Value:

Dual Momentum Portfolio Tracking - Aug 1, 2018

Portfolio Performance:

Dual Momentum Portfolio Performance - Aug 1, 2018

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