How Global Rotation works
Global Rotation spreads dual momentum across seven asset classes: US large caps (VOO), the Nasdaq-100 (QQQ), international stocks (VXUS), Pacific stocks (VPL), gold (SGOL), commodities (PDBC) and long Treasuries (TLT). Each month every candidate gets a score that blends its 1, 3, 6 and 12 month returns equally, and the three highest scores are held in equal thirds.
Each of the three picks must also beat cash on its own. A pick that does not is replaced by intermediate Treasuries (IEF), so the portfolio can be one third, two thirds or fully defensive. It is a simplified cousin of the rules behind Global Navigator, which adds a Treasury Duration Limiter and other refinements not modeled here.
What is dual momentum?
Dual momentum combines two simple ideas. Relative momentum compares assets with each other and holds the ones that have done best recently. Absolute momentum compares an asset with cash, and steps aside into something defensive when it is not even beating a Treasury bill. Relative momentum keeps you in the strongest markets; absolute momentum is what gets you out of long bear markets. You can read more about how momentum is measured and Risk On and Risk Off.
How to use this calculator
Start from a template, then change anything. Every setting updates the backtest immediately, and the share link reproduces your exact configuration.
- Momentum candidates are the ETFs the model chooses between. Hold the top sets how many it holds at once.
- Lookback is the window momentum is measured over: one period, or a blend of several with your own weights.
- Absolute momentum either tests each pick on its own, or uses one ETF (such as VOO in GEM) to decide Risk On or Risk Off for the whole portfolio. The hurdle is cash or zero.
- Risk Off is where money goes when the test fails: a fixed ETF, or the strongest of a basket of bond funds.
- Weighting splits money equally between holdings, or by equal risk, giving calmer ETFs a bigger share.
- Buy and hold sleeve keeps a fixed slice, such as managed futures or gold, alongside the momentum portion.
- Rebalancing resets weights monthly, each January, or only when a holding drifts outside a band.
- Trading friction is on by default and charges every trade, because nobody earns frictionless returns in a real account. See how the friction model works.
History back to 1980
Most dual momentum backtests start when the ETFs launched, which leaves out the 1980s, the 1987 crash, the 2000 to 2002 bear market and, for many funds, 2008. The histories here are extended back to 1980 using the indexes and funds each ETF tracks, so you can see how a rule behaved through several very different markets. See extended returns and where the data comes from.
Reading the results
The backtest reports CAGR, maximum drawdown, volatility, Sharpe and Sortino ratios and the Ulcer Performance Index, side by side with the benchmark you choose. Numbers can change noticeably with the start date; here is why.
Want more than dual momentum?
The strategies on DualMomentumSystems.com go further: Treasury duration limits, smart leverage, credit spread signals and more, tracked live every month. Browse every strategy.
ETFs available in the calculator
Every ETF below can be used as a momentum candidate, a gate, a Risk Off asset, part of a buy-and-hold sleeve or a benchmark. The start year is where the monthly history begins; earlier years for younger ETFs come from a matching index or fund, as explained in where the data comes from. Typing SPY or GLD works too; they map to VOO and SGOL.
70 ETFs
| Ticker | Description | History from |
|---|---|---|
| ALLW | All Weather | 1980 |
| BIL | 1-3 Month Treasury Bills | 1979 |
| BIZD | Business Development Companies | 2013 |
| BKLN | Senior Loans | 2011 |
| BND | Total Bond Market | 1979 |
| BOXX | 1-3 Month Box Spread | 1979 |
| BUYO | Buyout Strategies | 2025 |
| BWX | International Treasuries | 1990 |
| CAOS | Tail Risk | 1979 |
| CLSE | Long/Short Equity | 1979 |
| DBEF | EAFE Hedged Equity | 1979 |
| DBMF | Managed Futures | 1979 |
| DRN 3x | 3x Real Estate | 1986 |
| EDC 3x | 3x Emerging Markets | 1990 |
| EDV | Extended Duration Treasuries | 1979 |
| EEM | Emerging Markets | 1979 |
| EWJ | Japan | 1979 |
| FAS 3x | 3x Financials | 2008 |
| HFEQ | Equity Long/Short | 2022 |
| HFGM | Global Macro | 1979 |
| HFMF | Managed Futures | 1979 |
| HYG | High Yield Corporate Bonds | 1979 |
| IEF | 7-10 Year Treasuries | 1979 |
| IFRA | U.S. Infrastructure | 2018 |
| IWB | Russell 1000 | 1979 |
| IWD | Russell 1000 Value | 2000 |
| IWM | Russell 2000 | 1979 |
| IWP | Russell Mid-Cap Growth | 1979 |
| IWR | Russell Mid-Cap | 1979 |
| IWS | Russell Mid-Cap Value | 1979 |
| IWV | Russell 3000 | 1979 |
| JAAA | AAA CLOs | 2020 |
| JBBB | B-BBB CLOs | 2022 |
| KMLM | Managed Futures | 2021 |
| LQD | Investment Grade Corporate Bonds | 1979 |
| PDBC | Diversified Commodities | 1979 |
| PEX | Global Listed Private Equity | 2013 |
| PSP | Global Listed Private Equity | 2006 |
| QLD 2x | 2x Nasdaq-100 | 1979 |
| QQQ | Nasdaq-100 | 1979 |
| REET | Global REITs | 2014 |
| SCZ | International Small Cap | 1996 |
| SGOL | Gold | 1979 |
| SHNY 3x | 3x Gold | 1979 |
| SHY | 1-3 Year Treasuries | 1979 |
| SPMO | US Large Cap Momentum Factor | 2015 |
| SRLN | Senior Loans | 2013 |
| SSO 2x | 2x S&P 500 | 1979 |
| TIP | TIPS | 1979 |
| TLT | 20+ Year Treasuries | 1979 |
| TMF 3x | 3x 20+ Year Treasuries | 1979 |
| TQQQ 3x | 3x Nasdaq-100 | 1979 |
| UPRO 3x | 3x S&P 500 | 1979 |
| URTY 3x | 3x Russell 2000 | 1979 |
| VBR | Vanguard Small-Cap Value ETF | 1979 |
| VCSH | Short-Term Corporate Bonds | 1979 |
| VEA | Developed Markets | 1979 |
| VGIT | Intermediate Treasuries | 1979 |
| VGK | Europe | 1979 |
| VGSH | Short-Term Treasuries | 1979 |
| VNQ | U.S. REITs | 1979 |
| VNQI | International Real Estate | 2004 |
| VOO | S&P 500 | 1979 |
| VPL | Pacific Markets | 1979 |
| VTI | Total U.S. Stock Market | 2001 |
| VXUS | Total International Stock Market | 1979 |
| XLE | Energy | 1979 |
| XLK | Technology | 1999 |
| XLP | Consumer Staples | 1999 |
| XLU | Utilities | 1999 |
Backtests are hypothetical and are not a promise of future results. Returns before each ETF's launch are estimates built from comparable indexes and funds. This calculator is educational and is not investment advice.