Dual ETF Momentum Tool (New!)

Last December I posted multiple “Dual Momentum” tests that were inspired by a paper written by Gary Antonacci and available on Optimal Momentum. I received positive feedback from the first two articles (they are available here and here) so I have launched a new “Dual ETF Momentum” spreadsheet.

The spreadsheet is available on Scott’s Investment’s here. The objective of the spreadsheet is to track four pairs of ETFs and to present an “Invested” signal for the ETF in each pair with the highest relative momentum. Relative momentum is gauged by the 12 month total returns of each ETF. The 12 month total returns of each ETF is also compared to a short-term Treasury bill ETF (a “cash” filter). In order to have an “Invested” signal the ETF with the highest relative strength must also have 12-month total returns greater than the 12-month total returns of the cash ETF. This is the absolute momentum filter which is detailed in depth by Antonacci, and has historically helped increase risk-adjusted returns.

The selection of each pair of ETFs was intended to stay as true as possible to Antonacci’s article, which was based on indices, not ETFs. However, there are several other ETFs which could be easily substituted for the ones listed on the spreadsheet.

As an added bonus, the spreadsheet also has four additional sheets using a dual momentum strategy with broker specific commission-free ETFs. It is important to note that each broker may have additional trade restrictions and the terms of their commission-free ETFs could change in the future. Also, the dual momentum strategy has historically had relatively low turnover.

Below are the five portfolios along with current signals. If you enjoy these types of tools and articles, please also consider making a donation via the Paypal link on the homepage of Scott’s Investments:

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