Antonacci Dual Momentum (SPY vs cash only): does it still work? Replicated through 2026
We re-ran it on S&P 500 from 2011-01-31 to 2026-11-10 (15.8 years, before costs): +10.7% a year, Sharpe 0.72, worst drawdown -33.7%. The benchmark, S&P 500 buy-and-hold, did +13.8% a year (Sharpe 0.84, worst drawdown -33.7%).
Verdict: Worse risk-adjusted return than its benchmark over this period. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This is our adapted version, not the real portfolio or fund. Read what is lost before comparing it with anything published about the original.
What is lost
- No international stocks, so the relative-momentum comparison does not exist.
- When the signal is off the original rotates into aggregate bonds; here it sits in cash earning 0%.
When the signal is off, the original moves into bonds. We have no bond data, so this version sits in cash earning 0%.
What this means: no coupon income, no price gains when yields fall or stocks crash, and none of the losses bonds had when yields rose (2022). Read the results as the non-bond part plus idle cash. The real portfolio would have done differently, better in some years and worse in others.
Where it comes from
A rigorous, evidence-based rotation model that made 'dual momentum' a household phrase among systematic investors.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
Monthly: compare US stocks and international stocks over 12 months (relative momentum); if the winner beats T-bills over 12 months (absolute momentum) hold it, otherwise hold aggregate bonds.
How we replicate it
What we changed
Only the absolute-momentum leg survives: hold SPY at month end if its 12-month return is positive (the T-bill hurdle is taken as 0), otherwise hold cash. The relative leg (US vs international stocks) is lost entirely, and the original's bond fallback is cash.
The exact rule we run
On the last trading day of each month: if the SPY month-end close is above its month-end close 12 months earlier, hold 100% SPY for the next month, otherwise 100% cash.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2011-01-31, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: S&P 500 buy-and-hold, same period. Bought on the first day and held.
Drawdown from the previous peak
Key numbers
Sample: 2011-01-31 to 2026-11-10, 15.8 years, 3969 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -3.7% | -3.7% |
| Last year | +11.2% | +11.2% |
| Last 5 years | +68.8% | +72.9% |
| Whole period (cumulative) | +395.4% | +667.8% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +10.8% | +10.8% | +0.0% |
| 2025 | +17.7% | +17.7% | +0.0% |
| 2024 | +24.9% | +24.9% | 0.0% |
| 2023 | +15.6% | +26.2% | -10.6% |
| 2022 | -12.8% | -18.2% | +5.4% |
| 2021 | +28.7% | +28.7% | 0.0% |
| 2020 | +5.0% | +18.3% | -13.3% |
| 2019 | +17.7% | +31.2% | -13.5% |
| 2018 | -4.6% | -4.6% | -0.0% |
| 2017 | +21.7% | +21.7% | +0.0% |
| 2016 | +5.0% | +12.0% | -7.0% |
| 2015 | -6.7% | +1.2% | -7.9% |
| 2014 | +13.5% | +13.5% | +0.0% |
| 2013 | +32.3% | +32.3% | +0.0% |
| 2012 | +11.5% | +16.0% | -4.5% |
| 2011* | -0.4% | -0.4% | 0.0% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| S&P 500 SPY | 100.0% |
| Cash (0%) | 0.0% |
Last change of position: 2023-04-28. Drawdown from its peak today: -3.7%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -33.7% | -33.7% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | -13.3% | -24.5% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- The rule changed its position only 12 times: with so few signals the results are anecdotal.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
Only the absolute-momentum half is replicated, so this is a plain SPY trend filter, not Antonacci's full model.
Related
Other famous strategies
Closest strategies on Quant Arena
Similar idea, tested on the site's own rule set; not the same rule.
Markets used: S&P 500
Historical, hypothetical results before costs, taxes and fees. Not investment advice.