Cross-Sectional Momentum vs Dual Momentum
Two published track records side by side — same data, same methodology, zero verdicts.
Cross-Sectional Momentum
coreHolds the strongest-trending names (12-month return, skipping the last month), equally weighted, refreshed monthly.
Full track record →
Dual Momentum
coreOwns the top relative-momentum names while their own trend is positive; otherwise moves to cash. Holdings are kept until they clearly weaken (a no-trade band), which cuts trading costs without changing the effect.
Full track record →
The numbers, side by side
| Cross-Sectional Momentum | Dual Momentum | |
|---|---|---|
| CAGR | 15.7% | 21.2% |
| Volatility (ann.) | 38.6% | 45.2% |
| Sharpe | 0.50 | 0.58 |
| Sortino | 0.71 | 0.87 |
| Max drawdown | -67.1% | -71.4% |
| Calmar | 0.23 | 0.30 |
| Simulated since | 2021-07 | 2021-07 |
Simulated backtests (up to 6 years of point-in-time data, costs included) — not live results. Methodology: here. Past performance does not predict future results.
What the data says
- Dual Momentum posted the higher CAGR (21.2% vs 15.7%).
- Cross-Sectional Momentum fell less at its worst (-67.1% vs -71.4%).
- Cross-Sectional Momentum had the calmer ride (volatility 38.6% vs 45.2%).
These are facts from the published snapshots, not a recommendation — the rules differ in their risk profile. Overlay both equity curves in the interactive comparison tool.