GPMv Review 2 years history

GPMv is a strategy that was not home grown at Dual Momentum Systems, it started off as a well known strategy by Keuning & Keller. I wrote about how I came back to GPM with interest, and had some thoughts up how to better suit it for me, this writeup talks about that process, worthy of a first read or a refresher. Article: GPMv is Born

It has now been two years since the birth of GPMv which seems like a good time to check in on it and see how it is doing compared to the original GPM strategy.

Both GPM and GPMv have underperformed relative to their 1980 to current, or 2000 to current performance, just to get that out of the way, the real question is how did the GPM Variant perform to the original in the 24 months after it was developed.

Pretty darn well!

Not only has GPMv returned 9.15% more gains than GPM over the past two years, but it managed to do it with 10% lower Maximum Drawdown than GPM did also. Certainly this outperformance to GPM shouldn't be expected to persist, however, it does illustrate that so far the changes which made GPMv different from GPM have indeed played out rather well so far.

Compared to a 60/40 portfolio over the past two years, GPM underperformed the 60/40 benchmark by 6.20%, and GPMv outperformed the 60/40 benchmark by 2.95%.

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