Dual Momentum

Asset Allocation

Position	Category/Sector	Target Weight
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	Government Bonds, Ultrashort Bond	8.33%
AGG iShares Core U.S. Aggregate Bond ETF	Total Bond Market	8.33%
IEF iShares 7-10 Year Treasury Bond ETF	Government Bonds	8.33%
VMBS Vanguard Mortgage-Backed Securities ETF	Mortgage Backed Securities	8.33%
GLD SPDR Gold Shares	Gold, Precious Metals	8.33%
SPY State Street SPDR S&P 500 ETF	S&P 500	8.33%
VEU Vanguard FTSE All-World ex-US ETF	Foreign Large Cap Equities	8.33%
VWO Vanguard FTSE Emerging Markets ETF	Emerging Markets Equities	8.33%
RSP Invesco S&P 500 Equal Weight ETF	S&P 500, Equal Weight	8.33%
EMXC iShares MSCI Emerging Markets ex China ETF	Emerging Markets Equities	8.33%
VPL Vanguard FTSE Pacific ETF	Asia Pacific Equities	8.33%
VGK Vanguard FTSE Europe ETF	Europe Equities	8.33%

Benchmark Against

Benchmark

S&P 500 Index

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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.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-1.21%	0.23%	8.39%	10.39%	24.03%	18.94%	12.24%	13.61%
Portfolio Dual Momentum	-0.63%	2.09%	10.19%	11.82%	23.92%	15.01%	7.97%	—
Portfolio components:
AGG iShares Core U.S. Aggregate Bond ETF	-0.36%	0.95%	0.37%	0.51%	4.60%	3.97%	0.02%	1.54%
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	0.01%	0.29%	1.62%	1.76%	3.85%	4.61%	3.44%	2.20%
EMXC iShares MSCI Emerging Markets ex China ETF	0.35%	9.42%	40.84%	48.33%	72.64%	27.38%	13.27%	—
GLD SPDR Gold Shares	-2.27%	-7.13%	-1.95%	-2.68%	24.58%	28.86%	18.70%	12.11%
IEF iShares 7-10 Year Treasury Bond ETF	-0.53%	0.93%	-0.64%	-0.69%	3.39%	2.64%	-1.26%	0.56%
RSP Invesco S&P 500 Equal Weight ETF	-1.50%	3.05%	9.57%	9.88%	19.83%	13.85%	9.12%	11.97%
SPY State Street SPDR S&P 500 ETF	-1.25%	0.31%	8.95%	10.99%	25.43%	20.41%	13.77%	15.43%
VEU Vanguard FTSE All-World ex-US ETF	-0.47%	3.50%	14.79%	17.70%	32.20%	18.49%	9.31%	10.31%
VGK Vanguard FTSE Europe ETF	-0.87%	2.43%	7.22%	9.56%	20.52%	15.89%	9.19%	9.92%
VMBS Vanguard Mortgage-Backed Securities ETF	-0.51%	0.98%	0.72%	0.96%	6.16%	4.48%	0.55%	1.36%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jul 26, 2017, Dual Momentum's average daily return is +0.03%, while the average monthly return is +0.69%. At this rate, an investment would double in approximately 8.4 years.

Historically, 62% of months were positive and 38% were negative. The best month was Nov 2022 with a return of +8.1%, while the worst month was Mar 2020 at -8.3%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Dual Momentum closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +4.8%, while the worst single day was Mar 12, 2020 at -6.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.36%	4.18%	-6.17%	5.35%	3.03%	-0.48%							10.19%
2025	2.46%	0.99%	0.38%	1.51%	2.58%	3.20%	-0.13%	2.67%	3.33%	1.89%	0.70%	1.31%	22.93%
2024	-0.87%	1.75%	2.90%	-2.05%	2.60%	0.84%	2.55%	1.75%	2.20%	-2.34%	0.75%	-2.35%	7.76%
2023	6.00%	-3.64%	2.78%	1.04%	-1.63%	2.68%	2.41%	-2.66%	-3.27%	-1.68%	6.41%	4.18%	12.61%
2022	-2.28%	-1.29%	-0.53%	-5.05%	0.47%	-5.27%	3.46%	-3.22%	-7.09%	2.34%	8.09%	-2.01%	-12.57%
2021	-0.36%	0.66%	1.21%	2.25%	2.06%	-0.35%	0.12%	1.14%	-2.60%	1.83%	-1.88%	2.56%	6.71%

Benchmark Metrics

Dual Momentum has an annualized alpha of 1.47%, beta of 0.49, and R2 of 0.75 versus S&P 500 Index. Calculated based on daily prices since July 26, 2017.

This portfolio participated in 57.61% of S&P 500 Index downside but only 51.08% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.49 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 1.47%

Beta: 0.49

R²: 0.75

Upside Capture: 51.08%

Downside Capture: 57.61%

See how alpha, beta & R² have trended over time →

Expense Ratio

Dual Momentum has an expense ratio of 0.15%, 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.

Top 10 holdings

EMXC

iShares MSCI Emerging Markets ex China ETF

GLD

SPDR Gold Shares

RSP

Invesco S&P 500 Equal Weight ETF

IEF

iShares 7-10 Year Treasury Bond ETF

BIL

SPDR Bloomberg 1-3 Month T-Bill ETF

SPY

State Street SPDR S&P 500 ETF

VWO

Vanguard FTSE Emerging Markets ETF

VPL

Vanguard FTSE Pacific ETF

VGK

Vanguard FTSE Europe ETF

VEU

Vanguard FTSE All-World ex-US ETF

Return for Risk

Risk / Return Rank

Dual Momentum ranks 50 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Dual Momentum and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.17	1.94	+0.23
Sortino ratioReturn per unit of downside risk	2.96	2.64	+0.31
Omega ratioGain probability vs. loss probability	1.42	1.35	+0.07
Calmar ratioReturn relative to maximum drawdown	2.93	2.65	+0.28
Martin ratioReturn relative to average drawdown	11.76	11.88	-0.12

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AGG iShares Core U.S. Aggregate Bond ETF	34	1.22	1.81	1.22	1.67	4.88
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	100	19.61	173.16	87.41	353.28	2,801.32
EMXC iShares MSCI Emerging Markets ex China ETF	90	3.03	3.64	1.55	5.07	19.50
GLD SPDR Gold Shares	24	0.90	1.26	1.19	1.01	2.82
IEF iShares 7-10 Year Treasury Bond ETF	20	0.73	1.10	1.12	0.84	2.30
RSP Invesco S&P 500 Equal Weight ETF	53	1.69	2.44	1.30	2.54	9.60
SPY State Street SPDR S&P 500 ETF	67	2.06	2.80	1.38	2.87	12.95
VEU Vanguard FTSE All-World ex-US ETF	64	2.01	2.76	1.37	2.83	10.86
VGK Vanguard FTSE Europe ETF	38	1.31	1.91	1.23	1.70	6.33
VMBS Vanguard Mortgage-Backed Securities ETF	45	1.44	2.14	1.26	2.30	7.38

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Dual Momentum Sharpe ratio is 2.17 as of Jun 17, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.65 to 2.50, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Dual Momentum compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Dual Momentum provided a 2.57% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.57%	2.85%	2.91%	2.69%	2.30%	1.65%	1.50%	2.39%	2.43%	1.79%	1.77%	1.84%
Portfolio components:
AGG iShares Core U.S. Aggregate Bond ETF	3.98%	3.89%	3.74%	3.13%	2.39%	1.77%	2.14%	2.70%	2.72%	2.32%	2.39%	2.45%
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	3.85%	4.13%	5.03%	4.92%	1.35%	0.00%	0.30%	2.05%	1.66%	0.68%	0.07%	0.00%
EMXC iShares MSCI Emerging Markets ex China ETF	1.89%	2.82%	2.69%	1.83%	2.85%	1.78%	1.45%	3.25%	2.63%	0.99%	0.00%	0.00%
GLD SPDR Gold Shares	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	3.90%	3.77%	3.62%	2.91%	1.96%	0.83%	1.08%	2.08%	2.24%	1.82%	1.81%	1.90%
RSP Invesco S&P 500 Equal Weight ETF	1.49%	1.64%	1.52%	1.64%	1.82%	1.28%	1.64%	1.69%	2.02%	1.52%	1.20%	1.70%
SPY State Street SPDR S&P 500 ETF	1.00%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%
VEU Vanguard FTSE All-World ex-US ETF	2.60%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%
VGK Vanguard FTSE Europe ETF	2.77%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%
VMBS Vanguard Mortgage-Backed Securities ETF	4.18%	4.20%	3.94%	3.31%	2.35%	1.02%	2.01%	2.77%	2.72%	2.16%	2.10%	2.12%

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.

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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 20.68%, occurring on Oct 14, 2022. Recovery took 349 trading sessions.

The current Dual Momentum drawdown is 0.55%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-20.68%Oct 2022	1y 1mo	1y 4mo	2y 6moSep 2021 - Mar 2024
COVID crash2020	-20.28%Mar 2020	1mo 27d	4mo 5d	6mo 2dJan 2020 - Jul 2020
Rate-hike selloffLate 2018	-12.67%Dec 2018	10mo 29d	10mo 1d	1y 8moJan 2018 - Oct 2019
2026 pullback2026	-8.20%Mar 2026	28d	1mo 7d	2mo 5dMar 2026 - May 2026
2025 selloff2025	-7.93%Apr 2025	19d	20d	1mo 9dMar 2025 - Apr 2025

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 12 assets, with an effective number of assets of 12.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.23	1.28	1.29	1.28

The portfolio has a diversification ratio of 1.28, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Dual Momentum correlation to the S&P 500 Index

Dual Momentum has a 0.80 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (All Time) Calculated using the full available price history since Jul 26, 2017	0.82

Benchmark Correlations

Correlation vs. S&P 500 Index. SPY has the highest benchmark correlation at 1.00, while IEF has the lowest at -0.06.

-0.06

-0.00

0.08

0.09

0.09

0.67

0.68

0.75

0.75

0.79

0.89

1.00

Portfolio Correlations

Correlation vs. Dual Momentum. VEU has the highest portfolio correlation at 0.96, while BIL has the lowest at 0.01.

0.01

0.13

0.28

0.28

0.38

0.80

0.82

0.86

0.86

0.89

0.90

0.96

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	BIL	IEF	GLD	AGG	VMBS	RSP	VWO	EMXC	SPY	VGK	VPL	VEU
BIL	1.00	0.01	0.02	0.02	0.04	-0.01	0.02	0.00	0.00	-0.02	0.01	0.00
IEF	0.01	1.00	0.35	0.94	0.86	-0.07	-0.04	-0.02	-0.06	-0.00	-0.00	-0.02
GLD	0.02	0.35	1.00	0.35	0.31	0.09	0.24	0.25	0.08	0.23	0.23	0.26
AGG	0.02	0.94	0.35	1.00	0.88	0.09	0.08	0.11	0.09	0.14	0.13	0.13
VMBS	0.04	0.86	0.31	0.88	1.00	0.11	0.09	0.13	0.10	0.15	0.15	0.14
RSP	-0.01	-0.07	0.09	0.09	0.11	1.00	0.63	0.63	0.89	0.76	0.73	0.78
VWO	0.02	-0.04	0.24	0.08	0.09	0.63	1.00	0.85	0.67	0.73	0.78	0.88
EMXC	0.00	-0.02	0.25	0.11	0.13	0.63	0.85	1.00	0.68	0.73	0.80	0.84
SPY	0.00	-0.06	0.08	0.09	0.10	0.89	0.67	0.68	1.00	0.75	0.75	0.80
VGK	-0.02	-0.00	0.23	0.14	0.15	0.76	0.73	0.73	0.75	1.00	0.81	0.94
VPL	0.01	-0.00	0.23	0.13	0.15	0.73	0.78	0.80	0.75	0.81	1.00	0.93
VEU	0.00	-0.02	0.26	0.13	0.14	0.78	0.88	0.84	0.80	0.94	0.93	1.00

The correlation results are calculated based on daily price changes starting from Jul 26, 2017

Diversification Analysis

Find what Dual Momentum is missing

See which holdings overlap, where Dual Momentum is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification