Super Charge Dual Momentum Portfolio: September Update

Por: Gonzalo Loayza Devéscovi

There is no doubt that the markets have entered an important phase correction beginning in late August this year. Statistically, the current fall in the stock market is the largest since the 2008 crisis, already more pronounced than that experienced during 2011.

So far this year, the main Wall Street index, represented by the SP-500 is falling 6.77% measured at the end of September. In the same period, our Portfolio Base, built using a strategy called "Dual Momentum", is falling only 1.76%.

One of the great strengths of this strategy is precisely to "soften" significant falls in the value of portfolios during periods of correction. The other great strength is also access to returns significantly above market.

In the table below you can see that while the SP-500 has been growing at a rate of 8.16% a year since 2003 (last 12 years), our Base Portfolio, built under the above strategy, has registered returns of around 17.10 % per annum. That is more than twice annually, the SP-500.

Dual Momentum Portafolio Base
(Rendimiento Anual %)
		D. Momen		SPY
		Portfolio		Portfolio
2003		34.75		28.68
2004		13.70		10.88
2005		15.06		4.91
2006		23.22		15.79
2007		16.87		5.49
2008		4.68		(37.00)
2009		22.22		26.46
2010		15.76		15.06
2011		23.39		1.89
2012		6.51		15.99
2013		41.00		32.31
2014		13.81		13.46
2015		(1.76)		(6.77)
Total		17.10		8.16

Portfolio

This portfolio has been built on a widely studied and named "Dual Momentum" strategy. This was developed in the latter version, Gary Antonacci and has shown to have a capacity to generate huge profits for investors.

In our scheme, the Base Portfolio has twelve components (ETFs), product segment the market in as many sectors whose response to this strategy is very positive.

In the table below, you can appreciate the components of this portfolio as they form a consistent pattern over time.

Portafolio Base
(Rendimiento Anual %)
		Main	Indices	Main	Leaders	Tech.	Small	Global	Medium	SP-500	Leaders	Bond	Leaders	Total
Año	SP-500	Indices	Apalancados	Balance	Stocks	Sector	Cap	Markets	Cap	Compon	ETFs	Class	SmallCa	Portaf
2003	28.68	47.31					41.98		34.08	15.64				34.75
2004	10.88	(5.16)					21.32		22.98	15.64				13.70
2005	4.91	(2.92)					5.11	54.60	12.90	5.63				15.06
2006	15.79	10.13		31.62			19.95	41.06	15.92	20.65				23.22
2007	5.49	6.05		25.68			5.53	48.47	9.01	6.45				16.87
2008	(37.00)	26.80		18.84	(0.93)	2.75	6.62	(19.21)	6.62	(4.07)				4.68
2009	26.46	30.06		4.13	32.59	50.40	19.05	8.68	24.08	8.78				22.22
2010	15.06	22.04		27.50	11.39	5.41	12.31	10.83	26.50	14.24		11.61		15.76
2011	1.89	39.05	131.97	12.55	9.77	1.84	(4.73)	4.63	(1.88)	6.18		34.47		23.39
2012	15.99	2.92	(16.92)	4.37	13.43	8.22	5.10	17.25	4.91	18.79		7.01		6.51
2013	32.31	32.94	122.71	32.94	31.68	28.39	39.06	27.51	33.87	31.62		20.50	49.83	41.00
2014	13.46	15.63	44.12	15.63	12.21	19.18	(9.53)	19.18	9.91	14.64		20.87	(9.98)	13.81
2015	(6.77)	(1.96)	(12.98)	(1.96)	(0.65)	2.10	(5.38)	(1.22)	(0.15)	(2.33)	0.92	3.69	(1.22)	(1.76)
Total	8.16	15.98	40.02	16.54	13.08	13.76	11.02	17.33	14.70	11.29	0.92	15.91	10.04	17.10
Std. Dev	14.03%	14.88%	40.46%	16.93%	11.45%	13.58%	13.93%	19.52%	11.05%	10.50%	n.a	10.49%	12.58%	15.94%
Worst Year	-37.00%	-5.16%	-16.92%	-1.96%	-0.93%	1.84%	-9.53%	-19.21%	-1.88%	-4.07%	n.a	3.69%	-9.98%	-1.76%
Max. Draw Down	-50.95%	-14.48%	-34.30%	-21.58%	-13.35%	-12.93%	-22.41%	-38.75%	-17.33%	-13.28%	n.a	-6.14%	-9.10%	-12.36%