Composite Dual Momentum

The Composite Dual Momentum portfolio is Gary Antonacci's multi-asset extension of his original Global Equity Momentum framework, introduced in his paper Risk Premia Harvesting Through Dual Momentum. While the original GEM strategy trades between just three assets, the Composite version organizes a broader opportunity set into four independent modules -- equities, credit, real estate, and economic stress -- and applies dual momentum signals to each module separately.

Investment Philosophy

Each module contains two competing assets. Within each module, the strategy first uses relative momentum to select the stronger of the two, then applies an absolute momentum filter: if the winning asset has not outperformed Treasury bills over the trailing period, that module moves to cash instead. The four modules are equally weighted at 25% each and can move to cash independently, so the portfolio's overall risk exposure can range from fully invested to mostly in cash depending on market conditions. The premise is that the momentum anomaly is robust across asset classes, and that organizing the universe by economic function -- equities, credit, real assets, and crisis protection -- creates more meaningful diversification of the signal than mixing all assets into a single pool.

Who It's For

This portfolio suits investors who want the crash protection of Antonacci's dual momentum framework applied across a more complete set of market exposures. It is more complex to manage than the original GEM but offers a more diversified expression of the strategy and allows partial defensive positioning rather than all-or-nothing switches. A medium-to-long time horizon is appropriate.

Pros

• Four independent modules mean the portfolio can be partially defensive without moving entirely to cash
• Covers equity risk, credit risk, real estate, and economic stress assets in a single rules-based framework
• Each module's independent absolute momentum filter provides individual crash protection
• Backed by Antonacci's peer-reviewed research

Cons

• More complex to execute than standard GEM -- requires tracking momentum for eight assets across four modules monthly
• Trend-following strategies can underperform in choppy, trendless markets where signals whipsaw frequently
• Equal weighting across modules is arbitrary and may not be optimal in all market environments

Technical Notes

Each module evaluates signals monthly. The absolute momentum filter compares the selected asset's return against 3-month Treasury bill returns. The four modules contribute 25% each to the overall portfolio. For a related multi-asset approach, see the Diversified GEM portfolio.