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 | 15.5% | 21.1% |
| Volatility (ann.) | 38.7% | 45.3% |
| Sharpe | 0.49 | 0.58 |
| Sortino | 0.70 | 0.87 |
| Max drawdown | -66.7% | -69.8% |
| Calmar | 0.23 | 0.30 |
| Simulated since | 2021-08 | 2021-08 |
Simulated backtests (~5 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 (21.1% vs 15.5%).
- Cross-Sectional Momentum fell less at its worst (-66.7% vs -69.8%).
- Cross-Sectional Momentum had the calmer ride (volatility 38.7% vs 45.3%).
These are facts from the published snapshots, not a recommendation — different rules fit different risk tolerances. Overlay both equity curves in the interactive comparison tool.