Composite Dual Momentum (CDM) Overview

Composite Dual Momentum (CDM) applies Gary Antonacci's dual momentum framework to four parts of the market at once instead of one. The portfolio is split into four equal modules: equities, credit, real estate, and economic stress. Each module runs the same two tests independently, and each module holds either its own winner or cash. Nothing is ever concentrated in a single bet.

CDM is the other side of the dual momentum coin from GEM. GEM takes the framework and pushes it into the asset with the highest expected return, accepting concentration as the price. CDM takes the same framework and spreads it across four uncorrelated return streams, accepting lower returns as the price of a much smoother ride. Dual Momentum Systems tracks both, because the comparison between them is one of the most instructive in tactical allocation.

The Backstory

Where CDM comes from

Antonacci's research paper Risk Premia Harvesting Through Dual Momentum, first circulated in 2012, is the foundation under everything he later published, including the 2014 book Dual Momentum Investing. The paper is where dual momentum is laid out as a general method rather than as one strategy.

The method needs a pair of related assets that behave differently enough for relative momentum to have something to choose between. Antonacci built four such pairs, each aimed at a different source of risk premium:

• Equities. U.S. stocks against international stocks.
• Credit risk. Investment grade corporate bonds against high yield bonds.
• Real estate. Equity REITs against mortgage REITs.
• Economic stress. Long-term Treasuries against gold.

Each pair gets the same treatment: pick the stronger of the two, then check the winner against Treasury bills, and sit in bills if it fails that check. He then showed the results of the four modules individually and of an equally weighted composite of all four. The composite had the highest risk-adjusted return of anything in the paper, along with a far smaller worst decline than any single module.

Why it stayed a research result

CDM is Antonacci's own work, but it is not the model he went on to publish and maintain. His site tracks GEM. The book built its case around GEM. CDM has always lived in the paper, replicated by other people rather than tracked by its author.

The reasoning is consistent with everything else he has written. Equities carry the highest long-run risk premium, so a strategy that keeps a quarter of the portfolio in real estate and another quarter in a gold-versus-Treasuries decision is giving up return in exchange for stability. If you believe an investor's real problem is staying invested rather than maximizing the compounding rate, that is a good trade. Antonacci's published work leans the other way.

That leaves CDM in an unusual position: a well-documented strategy from the person who invented the framework, replicated by third parties for more than a decade, with no official version anywhere. This site carries it for the same reason it carries GEM, to show what the framework does when pointed at breadth instead of concentration.

What CDM is really answering

GEM's structural weakness is not its signal, it is its concentration. One holding at a time means every decision moves the whole portfolio, and a bad call is felt in full. GEM's worst declines in the historical record come from exactly that.

CDM answers with independence. Four modules make four separate decisions each month, and they are usually not all wrong at the same time. When equities are failing their absolute momentum test, the stress module is often the reason a portfolio holds up, because gold and long Treasuries tend to be doing something different. That is the whole design: not four ways to own the same risk, but four different risks with the same discipline applied to each.

The cost is visible in the record and is not subtle. Spreading across four modules, and parking a quarter of the portfolio in cash whenever a module fails its test, produces materially lower returns than GEM over the long run.

Core Strategy Logic

CDM is evaluated once a month. Signals are computed from month-end data and drive the holdings for the following month. Every module is fixed at 25% of the portfolio.

Step 1 - Which asset (relative momentum)

Within each module, the trailing 12-month total return of the two candidates is compared. The stronger one becomes that module's candidate holding.

Step 2 - In or out (absolute momentum)

The candidate is compared with Treasury bills (BIL) over the same 12 months. If it is beating T-bills, the module holds it. If not, the module holds cash.

The modules as implemented here

Module	Candidates	Purpose
Equities	VOO or VXUS	Global equity risk premium, chosen by region
Credit	LQD or HYG	Credit risk premium, investment grade against high yield
Real estate	VNQ	Real estate risk premium
Economic stress	SGOL or TLT	Safe-haven demand, gold against long Treasuries

Two implementation notes are worth stating plainly rather than leaving buried.

A cash module stays in cash. Its 25% is not handed to the modules that passed their tests. That restraint is the point. Redistributing would quietly concentrate the portfolio into whatever is running hottest, exactly when the strategy's own signals are saying the market is unhealthy, and independent testing shows it produces a worse risk-adjusted result.

The real estate module runs one asset here. Antonacci's version pairs equity REITs against mortgage REITs. Mortgage REIT history is the weakest data in the whole construction, and rather than publish a 46-year record resting on a reconstruction nobody should lean on, this implementation runs the module on equity REITs alone. With one candidate there is nothing to compare, so the module reduces to a pure absolute momentum test: hold VNQ when it is beating T-bills, hold cash otherwise. It is a deliberate deviation from the published rules and the one place where this version is not a faithful reproduction.

The portfolio is rebalanced monthly whether or not any signal changed, so the four modules never drift away from 25% each.

CDM and GEM Compared

	GEM	CDM
Decisions per month	One	Four, independent
Holdings	One fund, always	Up to four funds plus cash
Asset classes	Equities and bonds	Equities, credit, real estate, gold and Treasuries
Lookback	12-month total return	12-month total return
Defensive position	Aggregate bonds, all at once	Cash, module by module
When defensive	All or nothing	Partial, in quarters
Rebalancing	Only when the signal changes	Every month

Both use the same measurement and the same two questions. The difference is how many independent bets the answers are spread across, and the whole performance difference between them follows from that.

Performance Highlights

Over the full published history:

January 1980 through September 2026, net of trading friction:

	CAGR	Max Drawdown	Ulcer Index	UPI
Composite Dual Momentum	+9.8%	-13.2%	3.32	1.70
Global Equities Momentum	+14.0%	-22.7%	6.88	1.42
S&P 500	+12.0%	-51.0%	12.72	0.61

This table is the trade in one line. CDM gives up a large amount of annual return to GEM and takes a much smaller worst decline in exchange, and it comes out ahead on return per unit of drawdown. Against the index, it earned less per year while cutting the worst decline to a fraction of the index's.

Whether that is a good trade depends entirely on what the money is for. An investor decades from needing it is likely better served by the higher compounding rate. An investor drawing on the portfolio, or one who has abandoned strategies during drawdowns before, may find the smaller decline worth far more than the return it cost.

The same three, measured from January 2000:

January 2000 through September 2026, net of trading friction:

	CAGR	Max Drawdown	Ulcer Index	UPI
Composite Dual Momentum	+7.5%	-13.2%	4.20	1.33
Global Equities Momentum	+8.5%	-22.7%	8.53	0.77
S&P 500	+8.1%	-51.0%	15.89	0.39

The shorter window compresses the gap. The three land much closer together on return, and the ranking on drawdown does not change at all.

Note that CDM's worst decline is the same figure in both tables, which means its deepest drawdown in 46 years happened after 2000. The same is true of GEM and of the index. The difference is the size: a market that put the index through two declines of roughly half held CDM to a fraction of that, and the four modules did not all fail at once in either episode.

Two cautions apply here as they do everywhere on this site. A window starting in January 2000 begins a few months before a major bear market, which flatters any strategy that steps aside during one. And a single figure covering decades says nothing about the order in which the returns arrived, which is most of what an investor actually lives through.

Portfolio Characteristics

• Genuinely diversified. Four independent decisions across four different sources of risk premium, rather than four ways to own equity risk.
• Partial defensiveness. Risk comes off in quarters. The portfolio can be a quarter, half, three quarters or fully in cash, which makes it far less binary than GEM.
• Structurally lower returns. Fixed module weights and a cash position that is never redistributed both cap the upside on purpose.
• Shallow drawdowns. The historical record's headline feature. This is what the design is buying with the returns it gives up.
• Slow signal. The 12-month lookback trades rarely and reacts late to fast crashes and fast recoveries, the same as GEM.
• Monthly rebalancing. More trades than GEM, and up to four or five positions to maintain rather than one.
• No leverage. CDM never holds a leveraged fund.
• Best suited to tax-deferred accounts. Monthly rebalancing and module switches generate short-term gains. In a taxable account, plan accordingly.
• Fully mechanical. Every allocation follows from published rules with no discretionary override.
• Scalable. All positions are liquid exchange-traded funds.

Who It's For

CDM is designed for investors who want:

• Dual momentum applied for stability rather than for maximum return.
• Real diversification across equities, credit, real estate and safe havens, with a discipline applied to each.
• Risk that comes off in stages instead of all at once.
• A shallow drawdown profile, which matters most for money being drawn on or money whose owner has sold at the bottom before.
• A rules-based process with no market-timing judgment calls.

It is likely a poor fit for investors seeking the highest compounding rate, who are untroubled by deep drawdowns, or who want the simplest possible execution. Those investors should look at GEM or Global Navigator. Investors drawn to the low-drawdown goal but wanting it from a strategy designed here should compare CDM with Triad and GPMv.

---

Composite Dual Momentum originates in Gary Antonacci's research and is presented here as an independent implementation, with the real estate module modified as described above. Antonacci does not publish or track CDM; the model he maintains is GEM. Dual Momentum Systems is not affiliated with or endorsed by Gary Antonacci.

Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period. Investors should carefully consider their risk tolerance and consult with a financial advisor.

For the latest details, visit www.DualMomentumSystems.com