Dual Momentum ROC12

Strategy: US vs International equity selection based on 12-month ROC
Allocation: 100% to single best asset (or cash if both negative)
Signal Date: 2026-05-06
Last Updated: 2026-05-07

📊 Historical Backtest Performance

Variant Period Pre-Tax CAGR After-Tax CAGR Final Value Tax Drag
roc12_ma200 29.3y 10.83% 6.51% $63581 4.32%

Backtests use lot-level FIFO accounting with realistic tax rates. See all strategies →

About This Strategy

Selection Logic:

  • If both US and International have positive 12-month ROC: Select the one with higher ROC
  • If only one has positive ROC: Select that one
  • If both have negative ROC: Go to cash (BIL)

Rebalance: Monthly on last trading day.