No. of Recommendations: 7
FWIW, I ran a Dual Momentum screen for a few years. It was not very hard, but after awhile I noticed that it almost all the time picked VTI. So I stopped and just left it in VTI.As a fortuitous side effect of another screen evaluation tool I just created, it ws pretty easy to backtest a DM (GEM) screen.
The screen is: every month compute the 12 month (or 7 month) absolute momentum of three ETFs,
VTI, CWI, AGG. Whichever is the highest, move all the money to that one. Repeat every month.
A tweak is to go to cash in a month when all 3 have negative absolute momentum.
These three are the best I could find in their category that had the longest time in existance.
Jan 2007 to Oct 2025
There were several times when VTI was the pick for 2 or 3 years straight, except for an occasional one month switch to another one.
The statistics:
Jan 2007 to Oct 2025
12 month RS
VTI CWI AGG
count count count All in Out when all negative
136 25 52 CAGR 7.1% 7.6%
Stdev 12.1% 11.4%
7 mo RS
VTI CWI AGG
count count count
124 34 55 CAGR 7.4% 7.6%
Stdev 11.5% 10.7%
B&H
VTI CWI AGG
11.0% 4.3% 2.9% CAGR
16.4% 18.2% 4.8% Stdev
"Count" is the number of months that the ETF was selected.
Buy&hold VTI had 11% CAGR
GEM had about 7.5% CAGR, and also lower volatility.
To me, the game isn't worth the candle.
MSCI All Country World ex-U.S. Index (CWI & other ETFs) has been TERRIBLE.
The USA is the place to invest. The rest of the 1st world not so much.
