By Scott's Investments:
Scott's Investments provides a free "Dual ETF Momentum" spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum.
Antonacci has a new book coming out in November, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. I will be reviewing an advance copy of the book in the coming week, so stay tuned!
My Dual ETF Momentum spreadsheet is available here and the objective is to track four pairs of ETFs and provide an "Invested" signal for the ETF in each pair with the highest relative momentum. Invested signals also require positive absolute momentum, hence the term "Dual Momentum".
Relative momentum is gauged by the 12-month total returns of each ETF. The 12-month total returns of each ETF is also compared to a short-term Treasury ETF (a "cash" filter) in the
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