I received several good questions on the Dual ETF Momentum tool.
It is important to reiterate that the spreadsheet is not meant as an “optimal” portfolio or investment advice. It is a live, in-sample replication of the dual portfolios and strategy featured in Gary Antonacci’s academic paper.
He has been kind enough to follow my posts on the dual momentum strategy and he noted “as I’ve mentioned on both my website and blog, that I don’t think what I have in my paper is an ideal portfolio. I used those particular assets to support the points I was making in my paper. The BMI and GBMI indices represent a more appropriate investing portfolio, in my opinion. They also contain proprietary enhancements to the methodology.”
The BMI and GBMI are proprietary indices and licensed to professionals. However, Anotonacci has a new paper and book coming out later this year. The strategies featured in both will be geared towards the general public and I will be sure to post a follow-up when they are available!