Dual momentum
Combining relative momentum (“which asset is strongest?” → choose among assets) with absolute/time-series momentum (“is it trending up at all?” → else cash). Coined and systematized by gary-antonacci (Dual Momentum Investing, 2013; GEM/GAA portfolios). Antonacci’s stated finding: relative momentum adds return but does little for drawdown; absolute momentum cuts drawdown at some return cost; the combination is where the synergy lives.
Why this page is the round’s keystone
Our two seed articles are degenerate cases of dual momentum — which is why neither can honestly answer the disagreement between them:
| System | Relative leg | Absolute leg |
|---|---|---|
| gold-spx-rs-ratio-rotation (quantified-strategies) | yes (ratio vs 20-mo SMA) | no — always in something |
| gold-spx-switching-strategy (returnstream) | yes (RS lookback) | yes (T-bill filter) — rules paywalled |
| Proper dual momentum (our test) | yes | yes, disclosed |
That makes does-the-cash-leg-earn-its-keep a re-run of Antonacci’s central claim on the gold/SPX pair specifically — a documented claim to verify, not a cold-start curiosity. Frank’s position: the dual-momentum frame is the right skeleton for gold exposure given its option-like behavior (gold-as-call-option), and it subsumes the trend-filter question (gold-trend-filter-underperforms-bnh — “we’re adding a filter to other things”).
Open questions this frame opens
- Do gold and SPX want ONE dual-momentum overlay (shared cash signal) or per-asset absolute filters? Related to rotation-onset-co-rally: with two assets and one relative leg, co-move onsets force a single-hold and give up the slower riser.
- Antonacci’s evidence is stocks/bonds/global equities; gold’s autocorrelation structure and 1980–2000 chop are a harder environment — his parameters (12-mo lookback) may not transfer.
Related
gold-spx-ratio-rotation-replication · gold-spx-switching-replication ·
all momentum-family pages in claims/ · gold-as-call-option