U-Global Equities Momentum Overview
| CAGR | 13.8% |
|---|---|
| Maximum drawdown | -21.9% |
| MAR ratio | 0.63 |
| History | 46 years (561 months) |
U-Global Equities Momentum is a UCITS version of Gary Antonacci's GEM, for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
The rules are unchanged: U.S. stocks or international stocks, whichever has the stronger 12-month return, provided it beats T-bills; otherwise U.S. aggregate bonds. The full logic is on the Global Equities Momentum page. Because only the funds that hold each position change, the backtest is identical to the original's, month for month.
The UCITS Funds
| Role | Fund | Ticker (London, USD) | GBP line | ISIN |
|---|---|---|---|---|
| U.S. large cap (S&P 500) | iShares Core S&P 500 UCITS ETF (Acc) | CSPX | CSP1 | IE00B5BMR087 |
| International equities | Vanguard FTSE All-World ex-US UCITS ETF (Acc) | VXUA | VXUS | IE0009A5ADV9 |
| U.S. aggregate bonds | iShares US Aggregate Bond UCITS ETF (Acc) | IUAA | none | IE00BYXYYM63 |
How Closely the Funds Match
- Same or near-identical index. For most positions the UCITS fund tracks the same index, or the same index family, as the US fund it replaces.
- International stocks are held through a FTSE All-World ex US fund that holds large and mid caps only; the US fund also holds small caps, so the two move closely but not identically.
Performance Highlights
January 1980 through September 2026, net of trading friction:
| CAGR | Max Drawdown | Ulcer Index | UPI | |
|---|---|---|---|---|
| U-Global Equities Momentum | +13.8% | -21.9% | 6.88 | 1.40 |
| Global Equities Momentum | +13.8% | -21.9% | 6.88 | 1.40 |
| S&P 500 | +12.0% | -51.0% | 12.72 | 0.61 |
The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.
Notes for Investors Outside the US
- Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
- Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
- T-bills are the yardstick, not a holding. GEM compares stocks with T-bill returns but never holds T-bills, so they do not appear in the fund list.
- Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.
Who It's For
U-Global Equities Momentum is for investors outside the US who want the original dual momentum model in its simplest form, one fund at a time, built from UCITS funds.
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. U-Global Equities Momentum is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. 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