This strategy is an evolution of Dual Momentum. ADM is created by Engineered Portfolio. It aims to provide a simple asset allocation mechanism between three main segments: US Equities, Global Small Stocks, and Treasury Bonds. These asset types are picked because of their inverse correlation to each other – when one goes down, other goes up, thus helping balance your investment.

ETFs used by shüts to follow this strategy:

  1. US Equities: VOO, SPY
  2. Global Small Stocks: VSS, SCZ, EFA
  3. Bonds: TLT, TIP

*At shüts we use ETFs to represent an asset class of a strategy. This enables us to backtest a strategy strength for over decades, it also provides an easier way for you to follow a strategy.

Strategy Type

This is an energized strategy, depending on the technical indicator the asset allocations of this strategy could change once every month.

Technical Indicators

Moving Average of 1-month, 3-month, and 6-month returns.

How it works

On the last trading day of the month, calculate the momentum score (technical indicator) of the 3 asset class ETFs listed above. Then, follow the flowchart.

strategy performance

Performance

We tested this strategy running it from  10/01/2007 to 10/01/2022, last 15 years using shüts strategy backtesting.

strategy performance
Metrics Market 60/40 – Benchmark ADM
Performance Annualized Return(CAGR) 6.51% 5.25% 9.14%
Total Return 158.95% 116.32% 274.24%
Risk Sharpe 0.36 0.45 0.58
Sortino 0.44 0.52 0.85
Annualized Volatility 16.67% 10.51% 14.91%
Max Drawdown -46.87% -29.10% -29.62%
performance metrics
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