Update: Dual Momentum August 2019

Update: Dual Momentum August 2019

August 20, 2019 Off By Jeremy


Rules-Based Strategy Update: Dual Momentum Portfolio August 2019

I keep track of the 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 requires some calculations to trade, however once you get used to the rules it is not too hard to trade.  Using a tool like TC2000 or Amibroker helps to do that.

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 the best performing ETF has performed better than BIL, then buy that ETF (either SPY or VEU). 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 or Amibroker. 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 no change for August 2019 – the system continues to hold SPY.

Dual Momentum Monthly Ranking - August 2019

As you can see, SPY has performed better than VEU on a 1-Year return basis, and its return is greater than BIL.  Based on the strategy rules – and we always stick to the rules – the system is in SPY.

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.

This portfolio was started on July 2nd, 2018.

Portfolio Value:

Dual Momentum Portfolio Value - August 2019

Portfolio Performance:

Dual Momentum Portfolio Performance - August 2019

Note: When reviewing the performance chart, compare only the Total Return to the Index return.  Do not use the Personal Return.

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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Feature Image: Colin Capelle – Great Wall of China, Mutianyu