Is Gary Antonacci's Global Equity Momentum Strategy Robust?

Is Gary Antonacci’s Global Equity Momentum Strategy Robust? by Severian Asset Management Gary Antonacci’s excellent book Dual Momentum Investing is a cult hit. Its success is easy to understand. It offers a simple trading system that crushes the market in both absolute and risk-adjusted terms. Antonacci calls it Global Equity Momentum, or GEM. Here’s how it works: At the end of each month, compare the trailing 12-month total returns of U.S. and foreign stock markets. Select the one with the higher return. If the selected asset’s 12-month total return is higher than the 12-month total return of cash, buy it….