Extended Backtest of Global Equities Momentum
In 2013, I created my Global Equities Momentum (GEM) model. It holds U.S. or non-U.S. stock indices when stocks are strong and uses bonds as a safe harbor when stocks are weak. When my book, Dual Momentum Investing, was published in 2014, I had Barclays bond index data back to 1973. Since one year of data…