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 | 13.5% | 17.2% |
| Volatility (ann.) | 42.1% | 47.8% |
| Sharpe | 0.43 | 0.50 |
| Sortino | 0.62 | 0.74 |
| Max drawdown | -65.0% | -70.9% |
| Calmar | 0.21 | 0.24 |
| Simulated since | 2021-10 | 2021-10 |
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 (17.2% vs 13.5%).
- Cross-Sectional Momentum fell less at its worst (-65.0% vs -70.9%).
- Cross-Sectional Momentum had the calmer ride (volatility 42.1% vs 47.8%).
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.