The Test Bench › famous_system
Does Global / Dual Momentum (GEM) actually work?
OVERSOLDWorks, but nothing like as well as it is sold.
The claim
17.43% a year at 0.87 Sharpe — momentum across stocks/bonds beats buy & hold — Gary Antonacci
What we did
Tested against Buy & hold SPY / honest reconstruction.
The result
Result: Book: 17.4%/0.87 (1973–2013 in-sample). ETF-era net 2009–26: 9.7%/0.78, TRAILS SPY 15.3%/1.07
Book: 17.4%/0.87 (1973–2013 in-sample). ETF-era net 2009–26: 9.7%/0.78, TRAILS SPY 15.3%/1.07
Verdict
The headline number is a 40-year in-sample fit. Trade it in the real ETF era, net of cost, and it trails plain SPY. The 12-month lookback isn't even the best one — a sign of overfit.
What the test did and did not do
- survivorship-free universe
- net of real costs
- tested out of sample
- point-in-time data
- checked for look-ahead
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.