Accelerating Dual Momentum
The Accelerating Dual Momentum portfolio was created by Steve Hanly and introduced in a 2018 post on his blog Engineered Portfolio. The strategy adapts Gary Antonacci's dual momentum framework by replacing the standard 12-month lookback with a blended short-term momentum score designed to respond more quickly to emerging trends and trend reversals.
Investment Philosophy
Standard dual momentum uses a 12-month trailing return as its signal, which means the strategy can be slow to exit a deteriorating trend or slow to re-enter a recovering one. Hanly's modification computes a composite score by averaging the 1-month, 3-month, and 6-month total returns for each equity asset. By weighting recent performance more heavily than a full-year window, the score is intended to identify assets whose momentum is building -- or accelerating -- not just those that have outperformed over the past year. The absolute momentum concept is retained: if neither equity asset has a positive composite score, the portfolio moves to a defensive bond position.
Who It's For
This portfolio suits investors who are already familiar with dual momentum strategies and want a version that reacts more quickly to near-term trend changes. It requires the same mechanical discipline as any trend-following approach -- committing to rules-based signals through whipsaw periods -- and is appropriate for medium-to-long time horizons.
Pros
- Shorter, blended lookback makes the strategy more responsive to emerging and reversing trends
- Retains the absolute momentum defensive filter that can reduce equity exposure during broad downturns
- Relatively simple implementation with a small number of assets
Cons
- Shorter lookback periods increase trade frequency and the risk of whipsaw signals in trendless markets
- Based on a practitioner blog post with no formal peer review -- less independently validated than Antonacci's original model
- Higher portfolio turnover can create more taxable events in non-sheltered accounts compared to standard 12-month GEM
Technical Notes
Signals are evaluated monthly on the last trading day. The composite momentum score averages the 1-, 3-, and 6-month total returns for each equity option. When neither equity shows a positive composite score, the portfolio holds long-term US Treasury bonds as the defensive asset.
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Average Allocation
Based on historical average weights across all rebalance periods.
Performance Snapshot
Rolling Returns
| Period | Low | Average | High |
|---|---|---|---|
| 1 Year | -24.2% | +15.7% | +84.0% |
| 3 Year | -1.6% | +14.9% | +42.7% |
| 5 Year | +2.7% | +15.2% | +30.8% |
| 10 Year | +7.4% | +15.3% | +23.3% |
Growth of $10,000
Historical Drawdown
Percentage decline from the portfolio's peak value at each point in time.
Rolling Returns
Annualised return for each rolling period ending on that date.
Annualised return for each 1Y period ending on that date.