Dual momentum, popularized by Gary Antonacci, combines two filters. Relative momentum picks the strongest assets versus their peers. Absolute momentum asks: "is this winner even beating cash?" — and if not, the strategy buys nothing and waits in cash.
Why the second filter?
Pure relative momentum always holds something — in a bear market it will happily buy the "least-falling" names. The absolute filter is a circuit breaker: when the whole market trends down, the portfolio steps into cash instead of picking the best of the sinking. That is the design intent — not a guarantee: a 12-month signal can fire late. In our own simulated record the filter did fire late, and Dual Momentum's maximum drawdown is the deepest on our shelf — deeper than filter-free momentum. Read the numbers before the theory: they're on the strategy page.
What you pay for it
- Late exits and re-entries — a 12-month signal is slow by design; the strategy can exit after part of the decline and re-enter after part of the rebound.
- Sideways markets hurt — frequent in/out flips generate costs and whipsaw.
- It demands discipline — mechanically sitting in cash is psychologically hard while the market bounces.
See it on live data
We run Dual Momentum as a fully systematic strategy with a public, monthly-updated track record — including the periods it sat in cash (flagged explicitly as a defensive allocation). A related trend-based approach is Trend Following (MA200); compare them side by side here.
Educational material — not investment advice.