The idea
Gary Antonacci's dual momentum combines the two flavors of momentum into one decision:
- Relative momentum: own the asset that has been performing better than its alternatives.
- Absolute momentum: only own it if it has also been performing better than cash. If nothing beats cash, hold cash (or bonds).
Relative momentum picks the fastest horse; absolute momentum checks whether the race is even worth running. The combination is what separates dual momentum from naive "buy the winner" rotation: when everything is falling, the strategy stands aside instead of merely owning whatever is falling slowest.
The classic implementation
Antonacci's flagship version, Global Equities Momentum (GEM), uses three cheap, liquid index funds (US stocks, international stocks, and aggregate bonds) and one lookback: total return over the past 12 months. Once a month, on the same day each month:
| Step | Question | Action |
|---|---|---|
| 1 | Did US stocks beat Treasury bills over the last 12 months? | If no → hold bonds. If yes → step 2. |
| 2 | Did US stocks beat international stocks over the last 12 months? | If yes → hold US stocks. If no → hold international stocks. |
| 3 | Is what you should hold what you already hold? | If yes → do nothing. If no → switch. See you next month. |
Simplified for education. Antonacci's book covers the details and the evidence behind them.
Most months, step 3 ends with "do nothing." A typical year involves one to three actual trades. The entire research process is reading three numbers off a performance table.
Why so simple a thing can work
Each ingredient carries published evidence stretching back a century: momentum is among the strongest effects in the return literature, and a simple absolute-momentum filter has historically sidestepped the deepest parts of major bear markets, much like the 200-day moving average does. Dual momentum just stacks the two, using instruments broad enough that no single company can blow the strategy up.
Who it suits
Dual momentum is for people who want a rules-based, evidence-backed process that consumes fifteen minutes a month, not a trading hobby. If you need daily action, this will bore you into breaking it, and a strategy you can't follow is worthless regardless of its backtest. The full case, data, and construction details are in Antonacci's Dual Momentum Investing, which we rank among the essential simple-trading books.
Whatever you trade, size it like a professional
The strategy picks the vehicle. Position sizing decides whether you survive the ride.