QUANTUS STRATEGIES
GEM (Global Equities Momentum, Dual Momentum)
The strategy in one sentence
GEM Dual Momentum: A dynamic asset allocation strategy that each month chooses between US or developed-market equities and aggregate bonds by comparing 12-month returns.
- CAGR
- 11.52%
- Max drawdown
- -27.4%
- Backtest period
- 13.4 yrs
2013-06-09 ~ 2026-10-21 · updated 2026-10-21
Cumulative return
Compares the weekly cumulative return of the strategy and its benchmark.
Weekly observations 2013-06-09 ~ 2026-10-21 · last values over the full period: strategy 330.4% · S&P500 489.6%. When you pick a period, both series are re-based to 0% at the first observation in that range. The scorecard uses the full backtest; the chart uses weekly observations.
Total return basis · 30 bp transaction costs included · taxes not included · Source: Quantus public strategy catalog
Calendar-year returns vs. benchmark
Drawdown
Shows how far weekly observations fell from their prior peak.
Max drawdown -27.4% · daily basis
The chart uses weekly observations, so it can look shallower than the daily maximum drawdown.
Current composition
Weights by asset group in the public catalog
Investment rules
Calculates the 12-month returns of SPY, VEA and BIL.
If SPY's return is at or below BIL's, the entire portfolio goes to BND (aggregate bonds).
If SPY beats BIL, the entire portfolio goes to whichever of SPY and VEA has the higher return. If the two equity assets tie, VEA is chosen.
Source cited in the reference code: Gary Antonacci (2014), Dual Momentum Investing
Backtest results
Results calculated from past data. Past backtest results do not guarantee future returns.
| Metric | Strategy | S&P500 |
|---|---|---|
| Compound annual growth rate (CAGR) | 11.52% | 14.24% |
| Maximum drawdown (MDD) | -27.4% | -33.7% |
| Sharpe ratio | 0.6 | 0.9 |
| Sortino ratio | 0.8 | 1.2 |
| Last 1-year return | 12.1% | 17.6% |
| Cumulative return | 329.9% | 494.0% |
Period: 2013-06-09 to 2026-10-21
Total return basis · 30 bp transaction costs included · taxes not included · CAGR based on DB Securities
Source: Quantus public strategy catalog · Updated:
A dash (—) means the comparison figure is not provided or there are too few observations to calculate it.
Calendar-year returns
Calculated from each year's first and last observation. The formula is (100 + last cumulative return) / (100 + first cumulative return) - 1. Figures cover only the observed range shown in the table, so a partial year differs from the full calendar-year return. The benchmark is compared only when it has the same observation dates.
| Year | Observed range | Strategy | S&P500 |
|---|---|---|---|
| 2013 | 2013-06-09 ~ 2013-12-29 | -11.4% | 13.3% |
| 2014 | 2014-01-05 ~ 2014-12-28 | 27.7% | 16.2% |
| 2015 | 2015-01-04 ~ 2015-12-27 | 6.9% | 2.2% |
| 2016 | 2016-01-03 ~ 2016-12-25 | 8.2% | 13.1% |
| 2017 | 2017-01-01 ~ 2017-12-31 | -6.6% | 21.7% |
| 2018 | 2018-01-07 ~ 2018-12-30 | 1.4% | -7.7% |
| 2019 | 2019-01-06 ~ 2019-12-29 | 24.1% | 30.3% |
| 2020 | 2020-01-05 ~ 2020-12-27 | -5.9% | 16.6% |
| 2021 | 2021-01-03 ~ 2021-12-26 | 47.0% | 27.5% |
| 2022 | 2022-01-02 ~ 2022-12-25 | -1.8% | -18.1% |
| 2023 | 2023-01-01 ~ 2023-12-31 | 10.5% | 26.2% |
| 2024 | 2024-01-07 ~ 2024-12-29 | 58.4% | 28.8% |
| 2025 | 2025-01-05 ~ 2025-12-28 | 16.2% | 18.0% |
| 2026 | 2026-01-04 ~ 2026-10-21 | 3.3% | 14.0% |
Frequently asked questions
What are the backtest period, CAGR and maximum drawdown?
The backtest period runs from 2013-06-09 to 2026-10-21. CAGR is 11.52%, maximum drawdown is -27.4%. Past backtest results do not guarantee future returns.
What is the minimum investment?
The public catalog lists a minimum investment of USD 500. Check the strategy details before you apply it to your account.
How often does it rebalance?
Target allocations are calculated from month-end prices.
Which assets does it trade?
It trades SPDR S&P 500 (SPY-US), Vanguard FTSE Developed Markets (VEA-US), Vanguard Total Bond Market (BND-US), SPDR Bloomberg 1-3 Month T-Bill (BIL-US). Actual holdings and weights can change over time.
Do the backtest results include fees?
Results are on a total-return basis with 30 bp (0.3%) transaction costs included and taxes not included. Your actual brokerage costs and service fees will differ, so check them before you apply the strategy.
How do I apply it to my own account?
Open the strategy details, sign in, review the strategy and connect your brokerage account. Then check the investment amount and execution conditions and apply it to your account.
Related strategies and resources
This service is for reference only and does not constitute investment advice or guarantee returns. All investment decisions and responsibility rest with the user. Past backtest results do not guarantee future returns.