Global Equities Momentum (GEM) by Gary Antonacci Overview

Global Equities Momentum (GEM) is the dual momentum strategy which Gary Antonacci introduced in his 2014 book Dual Momentum Investing. It holds one fund at a time: U.S. stocks, international stocks, or bonds. Each month it asks two questions: which equity market is stronger, and is that market beating Treasury bills? The answers decide the holding for the following month.

GEM is the model most people mean when they say "dual momentum," and it is the direct ancestor of several strategies on this site, Global Navigator above all. Dual Momentum Systems tracks GEM both as a reference point and to pay homage to what at the time was a revolutionary tactical asset allocation strategy; the original design, run on the same data and the same trading cost assumptions as everything else here, so that every modification has something honest to be measured against.

The Backstory

Two kinds of momentum

Momentum is one of the most thoroughly documented effects in finance, and it comes in two forms.

Relative momentum compares assets against each other. Academic work in the early 1990s, most notably Jegadeesh and Titman, showed that assets that have outperformed their peers over the past several months tend to keep outperforming them for a while. Relative momentum is good at picking. What it cannot do is tell you whether to own anything at all. In a broad bear market, the strongest equity market can still be losing money, and relative momentum will happily keep you in it.

Absolute momentum, also called time-series momentum, compares an asset against its own past. An asset whose trailing return is positive tends to keep rising, and one whose trailing return is negative tends to keep falling. Moskowitz, Ooi and Pedersen documented it across dozens of markets in 2012. Absolute momentum is good at deciding whether to be invested, but on its own it does not choose between markets.

Antonacci's contribution

Gary Antonacci's insight was to use both, in sequence. His research paper Risk Premia Harvesting Through Dual Momentum, first circulated in 2012, used relative momentum to choose among assets and absolute momentum to decide whether to hold them at all. GEM, which he built in 2013, is the simplest and best-known application of that idea: two equity markets, one bond fund, Treasury bills as the hurdle, and a 12-month lookback.

The book followed in 2014 with a backtest covering 1974 through 2013. Antonacci later obtained longer bond data and extended the test back to 1970, which let it reach the 1973-74 bear market. By his account, GEM gained about 20% across those two years while the S&P 500 lost more than 40%, a short but meaningful stretch of history the model had never been fitted to.

The appeal was obvious. Three funds, one calculation a month, no judgment calls, and a record that sidestepped most of the damage of 1973-74, 2000-2002 and 2008. GEM became one of the most widely replicated tactical allocation models among individual investors, and it is largely responsible for "dual momentum" entering their vocabulary at all.

After publication

The years after the book were harder. U.S. large caps led for most of the following decade, and bear markets were short. A strategy that periodically steps out of equities or rotates abroad will trail a U.S. index through a long, U.S.-led bull market punctuated by quick selloffs. Each time GEM exited and the market snapped back, it paid for the round trip.

A fast crash followed by a fast recovery is the worst case for a 12-month signal. The lookback confirms the decline after much of it has already happened, then waits for the recovery to confirm itself before buying back in. The same slowness that keeps GEM from reacting to noise keeps it from reacting quickly to anything.

Independent researchers also pointed out that GEM's results are sensitive to its exact specification. Shifting the lookback by a couple of months, or checking the signal on a different day of the month, can produce very different results over any given stretch. That is true of most timing models, but a single-fund strategy makes it unusually visible, because every decision moves the whole portfolio.

None of this broke the idea. It clarified what GEM is: a strategy that gives up some return in strong, uninterrupted bull markets in exchange for protection during long, grinding bear markets, with a signal that is slow on purpose.

GEM and Dual Momentum Systems

Dual Momentum Systems takes its name from this framework. I have previously written that Global Navigator is largely a derivative of GEM. It asks the same two questions (is the stronger equity market beating cash, and if so, U.S. or international?) but answers them with a faster weighted lookback, a more careful defensive position by way of treasury duration limiter, and optional smart leverage.

Several of those changes came from living with GEM-style strategies through real markets. The clearest example is 2022, when the traditional safe harbor was itself the problem. Stocks and bonds fell together, and a strategy that retreats to bonds could lose money on both sides of the switch. Global Navigator's Treasury Duration Limiter exists because of that failure mode. GEM, by design, has no answer to it, which is part of what makes it a useful yardstick.

Core Strategy Logic

GEM is evaluated once a month. Signals are computed from month-end data and drive the holding for the following month.

Step 1 - Which equity market (relative momentum)

The trailing 12-month total return of U.S. equities (VOO) is compared with that of international equities (VXUS). The stronger of the two is the candidate holding. Ties go to the U.S.

Step 2 - In or out (absolute momentum)

The candidate is then compared with Treasury bills (BIL) over the same 12 months. If it is beating T-bills, GEM holds it at 100%. If it is not, GEM holds U.S. aggregate bonds (BND) at 100%.

BIL is used only as the hurdle. It is never held.

Situation	Holding
U.S. stronger than international, and beating T-bills	VOO (U.S. equities)
International stronger than U.S., and beating T-bills	VXUS (international equities)
Stronger equity market not beating T-bills	BND (aggregate bonds)

A note on implementations. Published descriptions of GEM differ on one detail: whether the T-bill test is applied to U.S. stocks specifically or to whichever equity market is stronger. The two versions agree in almost every month and diverge only when international stocks are leading and beating cash while U.S. stocks are not. The version here applies the test to the stronger market, as described above.

How GEM Holds

GEM is always 100% in a single fund. There are no partial weights, no sleeves, and nothing to rebalance. The only trades happen when the signal changes, and when it does, the whole position moves at once.

The 12-month lookback makes those changes infrequent. Most months require no action at all, and a holding typically stays in place for many months at a stretch. The flip side is that GEM tends to leave equities after a decline is well underway and return after a recovery is well established.

GEM and Global Navigator Compared

Because Global Navigator grew out of GEM, the differences are easiest to see side by side.

	GEM	Global Navigator
Lookback	12-month total return	Weighted 1, 3 and 6-month returns (25% / 25% / 50%)
U.S. equities	VOO	IWB
International equities	VXUS	50/50 VXUS and DBEF (currency hedged)
Absolute momentum test	Stronger equity vs T-bills	Stronger equity vs T-bills
Defensive position	Aggregate bonds (BND)	Treasury Duration Limiter: EDV, TLT or BOXX depending on conditions
Leverage	None	None in the base strategy; Smart Leverage in Global Navigator 200 and 300

The skeleton is the same. The differences are in how quickly the strategy reacts, how it handles currency risk on the international side, and what it does when it steps out of equities. See Global Navigator for the full treatment.

Performance Highlights

Over the full published history:

January 1980 through September 2026, net of trading friction:

	CAGR	Max Drawdown	Ulcer Index	UPI
Global Equities Momentum	+14.0%	-22.7%	6.88	1.42
Global Navigator	+13.9%	-23.1%	5.97	1.62
S&P 500	+12.0%	-51.0%	12.72	0.61

The S&P 500 row is the one that tells GEM's story. Over more than four decades, a three-fund strategy with a single monthly calculation beat the index while holding its worst decline to less than half of the index's. That is the result that made dual momentum famous, and it holds up on independent data.

Over that full span, GEM and the base Global Navigator land close together. That says more about the strength of the original design than about the value of any modification to it.

The same three, measured from January 2000:

January 2000 through September 2026, net of trading friction:

	CAGR	Max Drawdown	Ulcer Index	UPI
Global Equities Momentum	+8.5%	-22.7%	8.53	0.77
Global Navigator	+12.4%	-16.6%	4.93	2.13
S&P 500	+8.1%	-51.0%	15.89	0.39

The second window is worth as much as the first, because the two say different things.

GEM still beats the index over this period, and still does it with less than half the index's worst decline, which is the whole point of the design. But the margin over buy and hold is much thinner than it is across the full history. The 2014 onward stretch is in this window at full weight: a long U.S.-led bull market with short, sharp selloffs, which is the environment a slow 12-month signal handles worst.

The gap between GEM and Global Navigator also opens up here, and it opens where the design differences say it should. This window contains 2020, where the speed of the signal decided how much of the recovery a strategy caught, and 2022, where the choice of defensive asset decided whether stepping out of equities helped at all.

Two cautions on reading any of this. A window beginning in January 2000 starts a few months before a major bear market, which flatters every strategy that steps aside during one. And a single number covering decades hides the order in which the returns arrived, which is most of what an investor actually experiences.

The honest takeaway across both tables is that the original is hard to beat over the long run and worth improving on for the specific situations where it struggles. Any variation on it, here or elsewhere, should be judged against it in both windows.

Portfolio Characteristics

• Maximally simple. Three funds, one comparison against a hurdle, one holding at a time.
• Fully concentrated. Always 100% in one fund. When it is right, it is right with the whole portfolio, and when it is wrong, the same is true.
• Binary defensiveness. GEM is either fully invested in equities or fully in bonds. There is no gradual step-down.
• Slow by design. The 12-month lookback filters out short-term noise and trades rarely, at the cost of reacting late to fast crashes and fast recoveries.
• Bond-dependent defense. The defensive position is aggregate bonds. That has worked well when bonds rally during stock selloffs and poorly when stocks and bonds fall together.
• No leverage. GEM never holds a leveraged fund.
• Best suited to tax-deferred accounts. Holdings often change within a year, so realized gains are frequently short term. In a taxable account, plan accordingly.
• Fully mechanical. Every allocation follows from published rules with no discretionary override.
• Scalable. All positions are large, liquid exchange-traded funds.

Who It's For

GEM is designed for investors who want:

• The original, well-documented dual momentum model with nothing added.
• Global equity exposure that follows leadership between the U.S. and the rest of the world.
• A clear, testable rule for stepping out of equities during extended bear markets.
• The simplest possible execution: one fund at a time and very few trades.
• A benchmark for judging other tactical strategies, including the ones on this site.

It is likely a poor fit for investors who need current income, who are uncomfortable holding a single position, who want risk to come off gradually, or who will be frustrated by trailing the S&P 500 through long U.S.-led bull markets. Investors who want a faster signal, a defense that accounts for falling bonds, or optional leverage should look at Global Navigator. Those who prefer to spread dual momentum across several independent decisions should look at Composite Dual Momentum.

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Global Equities Momentum was created by Gary Antonacci and is presented here as an independent implementation for comparison. Dual Momentum Systems is not affiliated with or endorsed by Gary Antonacci. For his own description of the strategy, see Optimal Momentum.

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