The Momentum Portfolio exploits the “Dual Momentum” approach as described by Gary Antonacci, in a publication of April 2012 :

Risk Premia Harvesting Through Dual Momentum

The allocation is equally spread out to 4 clusters :

Cluster 1 : EQUITY

Cluster 2 : REIT

Cluster 3 : CREDIT

Cluster 4 : STRESS

Back-Test Performance Table

MP.Table

Back-Test Statistics

MP.Statistics

Equity Curve

MP.Equity

Because turnover is higher with dynamic allocations, I recommand using Market On Close orders (MOC) to avoid slippage cost.

This second allocation is the dynamic part of the NLX Portfolio:

Profit from trending assets

Boost global performance

Move to cash when unfavorable momentum

Recommanded reading for Momentum Portfolio (smart Beta):

The IVY Portfolio
by Mebane T. Faber, 2009

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk
by Gary Antonacci, 2014

DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth
Jack R. Vogel and David P. Foulke, 2015

 PAST PERFORMANCE IS ABSOLUTELY NOT A GUARANTEE OF FUTURE RESULTS.