Fragility Case Study: Dual Momentum GEM

Newfound Research

Corey Hoffstein

Research

20 Pages

Newfound Research examines how small implementation choices can materially alter outcomes in a popular dual momentum strategy. Using GEM as a case study, the paper shows that minor parameter tweaks can drive dramatically different results, challenging the idea that simple systematic models are inherently robust.

Key Takeaways

Specification Risk Matters: Changing lookback windows from 6 to 12 months led to performance spreads of hundreds to thousands of basis points annually across GEM implementations.
Timing Can Lag: In Q4 2018, GEM stayed risk-on until after a -14% drawdown, highlighting how signals can materially lag turning points.
Diversification Improves Stability: Combining 7 model variations reduced drawdowns and improved Sharpe ratios versus any single specification.
VIEW FULL REPORT

Join our newsletter to have all of this content + Exclusive Newsletter Bonus Content delivered to your inbox every week

Related Content

Portfolio Management
Does the Foundation Still Support the Structure? Why a Portfolio Rebalance Makes Sense Now
May 2026
Asset Allocation
Putting Portfolios Together when the World is Falling Apart
May 2026
Momentum
The Intramonth Momentum Cycle
May 2026

The information contained in this communication is of a general nature for informational purposes only, and does not constitute financial, investment, tax or legal advice. The information contained within this communication reflects the opinions of those referenced herein, and do not reflect the opinions of The Idea Farm, L.P. and its affiliates. Such opinions expressed herein are as of the date of production and are subject to change at any time without notice due to various factors, including changing market conditions or tax laws. Where data or information prepared by third parties is presented, no representation, warranty, or undertaking, expressed or implied, is given to the accuracy or completeness of such information by The Idea Farm, L.P. or any other person. While such sources are believed to be reliable, The Idea Farm, L.P. does not assume any responsibility for the accuracy or completeness of such information and does not undertake any obligation to update the information contained herein as of any future date. Any links to third party websites are offered only for use at your own discretion. The Idea Farm L.P., and its affiliates, are separate and unaffiliated from any third parties listed herein and are not responsible for their products, services, policies or the content of their website. All investments are subject to varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment strategy or product referenced directly or indirectly in this communication will be profitable, perform equally to any corresponding indicated historical performance level(s), or be suitable for your portfolio. Past performance is not an indicator of future results.

Scroll to Top