Dual Momentum Systems: Bamboo & Falcon Allocation Strategies

Full Conversation Session Overview & Informational Write-Up Compiled from our complete discussion (April 9, 2026)    Grok (Interviewer): Randy, you already have a proven lineup with the Bamboo allocations. What was the specific market problem or investor need that made you decide it was time to build Falcon as the next evolution? And how does the 60/20/10/10 mix of ALLW, HFGM, HFEQ, and DBMF solve that problem in a way the IWB/BND/DBMF/SGOL Bamboo core doesn’t?   You: Bamboo without any Smart Leverage is a better alternative to the standard 60/40, certainly from a risk performance measure like Ulcer Performance Index, or Gain to Pain ratio. It often beats the 60/40 in multi year periods, and when it does not - it is very close, all with much less downside. With Smart Leverage Bamboo+ and Bamboo++ deliver near or better performance to the S&P, again with far less risk.   What I love about Bamboo is that it mostly just needs annual rebalancing, and occasionally going into a leveraged position with Smart Leverage. It is not at all a 'fiddly' strategy needing monthly investment position adjustments.   What I don't love about Bamboo is that it is inherently rigid in its investments. US Large Cap, offset with a steady, non-volatile CAOS which also has Tail Risk benefit, Gold which is very uncorrelated and often doing well when Large Cap is not, and Managed Futures which march to their own beat. There isn't much adaptability within these different sleeves.   When I became aware of ALLW, which is highly related to the Bridgewater All Weather hedge fund, as well as Unlimited Funds HFGM - Global Macro, a segment of the Hedge Fund industry. It struck me that these would form a terrific basis for a Bamboo like allocation that is the opposite of inherently rigid. In fact it is amazingly fluid and flexible within the 4 ETF's. These some of these active ETF's use leverage, especially ALLW, and HFGM & HFEQ go both long and short, HFGM looks to capitalize on momentum and trends, it will be in currencies, metals, commodities, etc. ALLW is a risk parity ETF targeting 10% to 12% vol, it is invested in global assets and is fluid in it's investments.   Falcon is a more internally adaptive allocation compared to Bamboo. It has the opportunity for good performance with less drawdowns than the market, and could actually flourish in a prolonged deep drawdown as in the 2008/2009 market drawdowns. Throw in the use of Smart Leverage to opportunistically enhance returns, and Falcon+ has a lot to offer for a single strategy.   Grok: That fluid internal adaptability is clearly Falcon’s superpower. You settled on the exact 60% ALLW / 20% HFGM / 10% HFEQ / 10% DBMF weighting. Walk us through how you arrived at those specific percentages. Was it the result of running multiple optimization scenarios, targeting a particular volatility or risk-parity profile, or something else that made that blend feel just right compared to, say, 50/25/15/10 or 70/15/10/5?   You: To be honest, I had a few thoughts on various allocations, and I ran them by you for feedback, and your input helped me to come to the 60/20/10/10. ALLW is the anchor that keeps the strategy grounded and volatility lower. So this takes on the majority of the allocation. DBMF is also an anchor of sorts, it's performance is very uncorrelated to the market, which can be a great thing in down markets. I didn't want to overweight this, but have enough to make an impact; also not so much to be a drag on performance when the things are cooking. The Global Macro seems like a bit of the secret sauce to Falcon, I wanted to give it enough of an allocation to make a meaningful impact, but not so much that it drives volatility too high. The Long/Short position is a high beta ETF, it will definitely have high vol, but it also should return good positive returns over time. Similar to DBMF, it needed at least 10% to make an impact, but not so much that it drove vol too high.   Grok: That’s a really clean rationale—ALLW as the steady risk-parity foundation, DBMF and HFGM as the uncorrelated “anchors-plus-sauce” layer, and just enough HFEQ to juice returns without turning the whole thing into a volatility bomb. It feels like you optimized for balance rather than chasing max return.   You: ABSOLUTELY. Falcon (and Bamboo) are designed to perform well, with spectacular risk adjusted performance metrics, such that you can sleep well knowing you aren't going to blow up.    Grok: Bamboo with Smart Leverage uses a 15% threshold for drawdowns to trigger, why did you change that to just 10% for Falcon Smart Leverage? You: In my investigating the drawdown threshold for Smart Leverage, I came to realize that while 15% works great in many of my strategies, with an allocation it is ok to go in big with a leveraged ETF, largely because we aren't doing so with 100% of the allocation as we do with say LT Gain+ or Global Navigator+, when they go into leverage they do it with 100% of the account, but Falcon only goes leveraged on 40% of the account, it can better tolerate if we have a losing trade with Smart Leverage. However, Smart Leverage has a terrific win ratio, even at 10% drawdown.   Grok: Perfect—lower threshold, smaller leveraged sleeve, same high win-rate edge. It’s a smart way to add just enough convexity without compromising the “sleep-well” foundation you built everything on.   You: I wish I could produce back test data to bear this out, but since I cannot, I'll go through my thought process. There is anecdotal evidence that Bridgewater's All Weather suffered only a 4% loss, while the S&P had a 50% drawdown during the Great Financial Crisis of ~ 2008. This is due to its risk parity model and the ability to change investments within the ETF. HFGM global macro is highly fluid and will also adapt to a large drawdown, ditto Managed Futures. The HFEQ while it does have the ability to go long/short, I would assume this would fare the worst in a large drawdown, given it's high beta status, but it is only a 10% portion of the fund and even if it is suffering, it won't drag down the entire allocation.   Grok: That makes complete sense—the risk-parity engine in ALLW acting as the crisis shock absorber, HFGM and DBMF pivoting fluidly with trends and managed-futures logic, and the tiny 10% HFEQ slice acting as a contained high-beta kicker rather than a portfolio wrecker. It’s a thoughtful way to design for the exact scenario where rigid allocations (like plain 60/40 or even Bamboo’s fixed sleeves) just sit and bleed.   Grok: The Bamboo fact sheets you attached are crystal clear on the “sleep-well” side: annual rebalancing, 1.0–1.69 trades per year, mostly long-term capital gains, zero portfolio leverage, and drawdowns capped around –16% even in the leveraged Bamboo+ version.   You: With the information available, would you expect Bamboo or Falcon to have better overall performance, and in risk metrics in the next 5 to 10 years, and how would you guess that Falcon+ will compare to the leveraged Bamboo strategies? And could you please do a write up on both Falcon and Bamboo strategies.   Grok: [Full detailed answer from previous response included below in the "Performance Outlook" section for reference.]   Detailed Informational Write-Up Dual Momentum Systems: Bamboo and Falcon Allocation Strategies   Dual Momentum Systems offers two families of fixed-allocation strategies—Bamboo and Falcon—both designed for investors seeking strong risk-adjusted performance with minimal ongoing maintenance. Both are rebalanced annually, emphasize tax efficiency (primarily long-term capital gains), and incorporate an optional “Smart Leverage” overlay in their + versions. They differ in their core construction: Bamboo provides a stable, rigid mix of traditional and alternative sleeves, while Falcon uses more internally adaptive ETFs for greater regime flexibility.   All data below is drawn directly from the attached fact sheets (results through April 8, 2026) and the Falcon performance spreadsheet. Full equity curves, drawdown charts, and monthly statistics are available in those documents.   The Bamboo Family Bamboo is a conservative upgrade to a classic 60/40 portfolio. It delivers similar long-term returns to a balanced stock/bond mix but with materially lower volatility and drawdowns. The strategy is intentionally simple and “set-it-and-forget-it.”   Core Holdings (May 2026 rebalance – identical across all three variants)  ● 40% IWB – iShares Russell 1000 ETF (U.S. large-cap)  ● 20% BND – Vanguard Total Bond Market ETF  ● 20% DBMF – iMGP DBi Managed Futures Strategy ETF  ● 20% SGOL – abrdn Physical Gold Shares ETF   Variants  ● Bamboo – No leverage (100% portfolio exposure).  ● Bamboo+ – Uses 2× leverage (SSO) only on the 40% U.S. large-cap sleeve when triggered.  ● Bamboo++ – Uses 3× leverage (UPRO) only on the 40% U.S. large-cap sleeve when triggered.   Key Characteristics (from 1980+ backtests)  ● Annual turnover: 1.00–1.69 trades per year (including rebalancing).  ● Tax profile: Mostly long-term capital gains.  ● Suitable for any portfolio size.  ● No portfolio-level leverage except during triggered periods (Bamboo+ avg. 109%, max 140%; Bamboo++ avg. 117%, max 180%).  ● Beta to equities: 0.39 (Bamboo), 0.46 (Bamboo+), 0.55 (Bamboo++).   Performance & Risk Summary (annualized returns, through 4/8/2026)

Source: Attached fact sheets. Recent short-term returns identical across variants because the Smart Leverage overlay has not been active in the displayed periods.
 
The equity charts show Bamboo hugging the 60/40 line with noticeably shallower and shorter drawdowns. Ulcer Index, Gain-to-Pain, and Sortino ratios are consistently superior to both 60/40 and the Russell 1000.
 
The Falcon Family
Falcon is Dual Momentum Systems’ newer, more dynamic allocation. It replaces Bamboo’s rigid sleeves with ETFs that actively adjust exposures within their mandates, aiming for better adaptability across market regimes (bull, bear, inflationary, or deflationary).
 
Core Holdings (fixed 60/20/10/10 mix) 
● 60% ALLW – All Weather (risk-parity style, targets 10–12% volatility, global assets, built-in leverage). 
● 20% HFGM – Unlimited Funds Global Macro (long/short, momentum/trend following across currencies, commodities, etc.). 
● 10% HFEQ – Long/Short equity (higher-beta sleeve). 
● 10% DBMF – iMGP DBi Managed Futures Strategy ETF (uncorrelated crisis hedge).
 
Variants 
● Falcon – No leverage. 
● Falcon+ – Applies the Smart Leverage overlay only to the 60% ALLW sleeve (see below), 40% of the total allocation will go into SSO.
 
Key Characteristics (live data since inception ~March 2024) 
● Very low turnover (effective allocations drift only 1–2% month-to-month; rebalanced annually). 
● Tax profile: Expected to be primarily long-term capital gains (consistent with the ETF holdings). 
● Suitable for any portfolio size. 
● No portfolio-level leverage except during triggered Smart Leverage periods.
 
Performance & Risk Summary (from attached spreadsheet)