Accelerating Dual Momentum Score

2022년 5월 29일

This is a score metric used by the Accelerating Dual Momentum strategy.

According to the website you referenced when you created, the strategy is as follows:

Strategy Rules
This strategy allocates 100% of of the portfolio to one asset each month.


1. On the last trading day of each month, calculate the “momentum score” for the S&P 500 ( SPY ) and the international small cap equities (SCZ). The momentum score is the average of the 1, 3, and 6-month total return for each asset.

2. If the momentum score of SCZ > SPY and is greater than 0, invest in SCZ.

3. If the momentum score of SPY > SCZ and is greater than 0, invest in SPY .

4. If neither momentum score is greater than 0, calculate the 1-month total return for long-term US Treasuries ( TLT ) and US TIPS (TIP). Invest in whichever has the higher return.

Source: portfoliodb.co/portfolios/accelerating-dual-momentum/