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Subject:  Dual Global Equities Momentum: Case in Fragility Date:  1/16/2019  9:12 PM
Author:  FlyingCircus Number:  273122 of 274907

Timely and worthwhile read for those using or considering the Dual Momentum approach:
Among do-it-yourself tactical investors, Gary Antonacci’s Dual Momentum is the strategy we tend to see implemented the most. The Dual Momentum approach is simple: by combining both relative momentum and absolute momentum (i.e. trend following), Dual Momentum seeks to rotate into areas of relative strength while preserving the flexibility to shift entirely to safety assets (e.g. short-term U.S. Treasury bills) during periods of pervasive, negative trends.

In our experience, the precise implementation of Dual Momentum tends to vary (with various bells-and-whistles applied) from practitioner to practitioner. The most popular benchmark model, however, is the Global Equities Momentum (“GEM”), with some variation of Dual Momentum Sector Rotation (“DMSR”) a close second....

....When a portfolio’s returns are highly sensitive to its specification – i.e. slight variation in returns or model parameters lead to dramatically different return profiles – we label the strategy as fragile.

In this brief commentary, we will use the Global Equities Momentum (“GEM”) strategy as a case study in fragility.

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