Dual Momentum
BIL SPY AGG VEU IEF GLD VMBS VNQ VNQI
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Dual Momentum, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced every 3 months.
The earliest data available for this chart is Jul 26, 2017, corresponding to the inception date of EMXC
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.71% | -9.92% | 6.35% | 13.40% | 9.65% |
| Dual Momentum | 2.33% | -2.11% | -1.30% | 10.19% | 8.05% | N/A |
| Portfolio components: | ||||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.25% | 0.35% | 2.18% | 4.83% | 2.52% | 1.75% |
SPY SPDR S&P 500 ETF | -9.91% | -6.63% | -9.38% | 7.66% | 15.04% | 11.54% |
AGG iShares Core U.S. Aggregate Bond ETF | 1.98% | -0.68% | 0.25% | 6.56% | -0.90% | 1.38% |
VEU Vanguard FTSE All-World ex-US ETF | 4.48% | -4.00% | -1.84% | 9.73% | 10.37% | 4.67% |
GLD SPDR Gold Trust | 26.43% | 9.04% | 21.83% | 38.50% | 13.95% | 10.43% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.37% | -0.12% | 0.55% | 7.05% | -2.89% | 0.75% |
VMBS Vanguard Mortgage-Backed Securities ETF | 1.95% | -0.75% | 0.55% | 7.42% | -0.82% | 0.93% |
VWO Vanguard FTSE Emerging Markets ETF | -1.58% | -6.26% | -7.19% | 9.30% | 7.40% | 2.77% |
RSP Invesco S&P 500® Equal Weight ETF | -6.73% | -6.41% | -9.82% | 3.45% | 14.21% | 8.90% |
EMXC iShares MSCI Emerging Markets ex China ETF | -1.95% | -3.05% | -9.37% | 1.10% | 9.89% | N/A |
VPL Vanguard FTSE Pacific ETF | 2.43% | -3.14% | -3.37% | 4.62% | 8.13% | 4.03% |
VGK Vanguard FTSE Europe ETF | 10.63% | -3.43% | 2.08% | 11.73% | 12.91% | 5.56% |
Monthly Returns
The table below presents the monthly returns of Dual Momentum, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.83% | 0.75% | 0.14% | -1.36% | 2.33% | ||||||||
| 2024 | -0.78% | 2.17% | 3.22% | -2.20% | 2.84% | 0.87% | 2.63% | 1.88% | 2.29% | -2.05% | 1.13% | -2.56% | 9.60% |
| 2023 | 6.16% | -3.63% | 2.79% | 1.08% | -1.67% | 3.03% | 2.59% | -2.68% | -3.49% | -1.62% | 6.66% | 4.27% | 13.52% |
| 2022 | -2.54% | -1.36% | -0.14% | -5.35% | 0.42% | -5.72% | 3.74% | -3.27% | -7.22% | 2.78% | 7.88% | -2.20% | -13.16% |
| 2021 | -0.42% | 0.71% | 1.34% | 2.46% | 2.11% | -0.31% | 0.16% | 1.30% | -2.82% | 2.21% | -1.96% | 2.88% | 7.76% |
| 2020 | -1.01% | -3.80% | -8.53% | 5.89% | 2.94% | 2.31% | 4.12% | 2.26% | -1.48% | -1.14% | 6.66% | 4.09% | 11.83% |
| 2019 | 5.16% | 0.79% | 1.00% | 1.59% | -2.81% | 4.49% | -0.54% | -0.27% | 1.10% | 2.05% | 0.61% | 2.79% | 16.87% |
| 2018 | 3.44% | -3.29% | -0.17% | -0.30% | -0.75% | -1.38% | 1.74% | -0.66% | -0.01% | -4.73% | 1.59% | -2.44% | -6.99% |
| 2017 | -0.03% | 1.01% | 0.34% | 1.27% | 0.77% | 1.49% | 4.94% |
Expense Ratio
Dual Momentum has an expense ratio of 0.16%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 81, Dual Momentum is among the top 19% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.63 | 253.38 | 147.29 | 448.78 | 4,119.51 |
SPY SPDR S&P 500 ETF | 0.30 | 0.56 | 1.08 | 0.31 | 1.40 |
AGG iShares Core U.S. Aggregate Bond ETF | 1.29 | 1.88 | 1.22 | 0.52 | 3.31 |
VEU Vanguard FTSE All-World ex-US ETF | 0.58 | 0.92 | 1.12 | 0.71 | 2.23 |
GLD SPDR Gold Trust | 2.34 | 3.10 | 1.41 | 4.73 | 12.68 |
IEF iShares 7-10 Year Treasury Bond ETF | 1.14 | 1.71 | 1.20 | 0.36 | 2.42 |
VMBS Vanguard Mortgage-Backed Securities ETF | 1.32 | 1.96 | 1.24 | 0.65 | 4.03 |
VWO Vanguard FTSE Emerging Markets ETF | 0.51 | 0.85 | 1.11 | 0.48 | 1.67 |
RSP Invesco S&P 500® Equal Weight ETF | 0.21 | 0.42 | 1.06 | 0.20 | 0.83 |
EMXC iShares MSCI Emerging Markets ex China ETF | 0.03 | 0.17 | 1.02 | 0.03 | 0.08 |
VPL Vanguard FTSE Pacific ETF | 0.20 | 0.41 | 1.05 | 0.23 | 0.68 |
VGK Vanguard FTSE Europe ETF | 0.69 | 1.06 | 1.14 | 0.85 | 2.40 |
Dividends
Dividend yield
Dual Momentum provided a 2.90% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.90% | 2.91% | 2.69% | 2.30% | 1.65% | 1.48% | 2.39% | 2.45% | 1.79% | 1.77% | 1.84% | 1.95% |
| Portfolio components: | ||||||||||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.77% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.36% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
AGG iShares Core U.S. Aggregate Bond ETF | 3.79% | 3.74% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% |
VEU Vanguard FTSE All-World ex-US ETF | 3.07% | 3.24% | 3.32% | 3.12% | 3.07% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% | 3.52% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.66% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% |
VMBS Vanguard Mortgage-Backed Securities ETF | 4.01% | 3.94% | 3.31% | 2.35% | 1.02% | 1.81% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% | 1.90% |
VWO Vanguard FTSE Emerging Markets ETF | 3.27% | 3.20% | 3.52% | 4.11% | 2.63% | 1.91% | 3.24% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% |
RSP Invesco S&P 500® Equal Weight ETF | 1.73% | 1.52% | 1.63% | 1.82% | 1.28% | 1.64% | 1.69% | 2.02% | 1.52% | 1.20% | 1.70% | 1.46% |
EMXC iShares MSCI Emerging Markets ex China ETF | 2.74% | 2.69% | 1.83% | 2.85% | 1.78% | 1.45% | 3.25% | 2.63% | 0.99% | 0.00% | 0.00% | 0.00% |
VPL Vanguard FTSE Pacific ETF | 3.27% | 3.15% | 3.12% | 2.75% | 3.19% | 1.81% | 2.85% | 3.06% | 2.57% | 2.65% | 2.43% | 2.69% |
VGK Vanguard FTSE Europe ETF | 3.17% | 3.61% | 3.15% | 3.25% | 3.05% | 2.11% | 3.27% | 3.95% | 2.70% | 3.52% | 3.25% | 4.62% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the Dual Momentum. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Dual Momentum was 20.96%, occurring on Oct 14, 2022. Recovery took 345 trading sessions.
The current Dual Momentum drawdown is 2.44%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -20.96% | Nov 15, 2021 | 231 | Oct 14, 2022 | 345 | Mar 1, 2024 | 576 |
| -20.65% | Jan 21, 2020 | 44 | Mar 23, 2020 | 89 | Jul 29, 2020 | 133 |
| -13.28% | Jan 29, 2018 | 229 | Dec 24, 2018 | 211 | Oct 25, 2019 | 440 |
| -8.86% | Feb 21, 2025 | 33 | Apr 8, 2025 | — | — | — |
| -4.87% | Sep 27, 2024 | 73 | Jan 13, 2025 | 22 | Feb 13, 2025 | 95 |
Volatility
Volatility Chart
The current Dual Momentum volatility is 7.78%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| BIL | GLD | IEF | VMBS | AGG | RSP | SPY | VWO | EMXC | VGK | VPL | VEU | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.02 | 0.03 | 0.06 | 0.04 | -0.00 | 0.00 | 0.03 | 0.01 | -0.02 | 0.02 | 0.01 |
| GLD | 0.02 | 1.00 | 0.37 | 0.32 | 0.37 | 0.08 | 0.07 | 0.22 | 0.24 | 0.20 | 0.21 | 0.23 |
| IEF | 0.03 | 0.37 | 1.00 | 0.84 | 0.94 | -0.11 | -0.10 | -0.07 | -0.05 | -0.06 | -0.05 | -0.06 |
| VMBS | 0.06 | 0.32 | 0.84 | 1.00 | 0.87 | 0.07 | 0.07 | 0.06 | 0.10 | 0.10 | 0.11 | 0.10 |
| AGG | 0.04 | 0.37 | 0.94 | 0.87 | 1.00 | 0.05 | 0.06 | 0.06 | 0.08 | 0.09 | 0.10 | 0.09 |
| RSP | -0.00 | 0.08 | -0.11 | 0.07 | 0.05 | 1.00 | 0.91 | 0.64 | 0.65 | 0.77 | 0.75 | 0.79 |
| SPY | 0.00 | 0.07 | -0.10 | 0.07 | 0.06 | 0.91 | 1.00 | 0.67 | 0.67 | 0.76 | 0.77 | 0.80 |
| VWO | 0.03 | 0.22 | -0.07 | 0.06 | 0.06 | 0.64 | 0.67 | 1.00 | 0.84 | 0.73 | 0.79 | 0.88 |
| EMXC | 0.01 | 0.24 | -0.05 | 0.10 | 0.08 | 0.65 | 0.67 | 0.84 | 1.00 | 0.74 | 0.79 | 0.84 |
| VGK | -0.02 | 0.20 | -0.06 | 0.10 | 0.09 | 0.77 | 0.76 | 0.73 | 0.74 | 1.00 | 0.82 | 0.94 |
| VPL | 0.02 | 0.21 | -0.05 | 0.11 | 0.10 | 0.75 | 0.77 | 0.79 | 0.79 | 0.82 | 1.00 | 0.93 |
| VEU | 0.01 | 0.23 | -0.06 | 0.10 | 0.09 | 0.79 | 0.80 | 0.88 | 0.84 | 0.94 | 0.93 | 1.00 |