Update: Dual Momentum January 2019

Update: Dual Momentum January 2019

January 5, 2019 2 By Jeremy


Rules-Based Strategy Update: Dual Momentum Portfolio January 2019

I keep track of the more common Dual Momentum strategy on Robotic Investing. This system uses previous 12-month momentum as the indicator and buys the strongest performing ETF, as long as that ETF is performing better than T-Bills. This post reviews how the strategy has performed over the past month.

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 was a change for January 2018 – the system sold SPY and bought BND.

In order to determine that BND is the holding for January, I used TC2000 to do a relative comparison graph. As you can see, although SPY has performed better than the other assets, it is not performing better than T-Bills over the past 12-months, thus the reason to go to BND according to the strategy.

Dual Momentum Ranking - January 2019

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 Value - January 2019

Portfolio Performance:

Dual Momentum Portfolio Performance - January 2019

I update all of the strategies at Robotic Investing on a monthly basis. If you want to get notified when each strategy is updated, then please consider subscribing to my newsletter. You will only receive emails when posts have been updated.

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