Dual momentum investing backtest antonaccis portfolioinvestors. My thoughts on gary antonaccis dual momentum a wealth. We first explore its sole parameter the formation, or look back, period. Since antonacci combines both relative momentum and absolute momentum ie dual momentum.
Gary antonacci s dual momentum investing is what happens when ed thorpes beat the dealer meets seth klarmans margin of safety. How much can dual momentum increase your investment returns. This is a test of composite dual momentum, broadly based on gary antonacci s paper. Review and model gary antonaccis dual momentum strategy using ft. A different kind of strategy is dual momentum by gari antonacci. In this paper, we explore the practical side of absolute momentum. Garys dual momentum investing book chapter 8s how to use it section. Gary antonacci is an industry veteran with over 35 years of experience as an investment professional. Gary antonacci meet the inventor and author of dual momentum investing by tim du toit, quant investing as a passionate value investor it took me a long time and a lot of research to accept that momentum is a very important factor that you must incorporate in your investment strategy if you want high returns. Jul 08, 2015 antonacci combines to two approaches into a single system, hence the term dual momentum.
I have been looking forward to jack and wess new book. The strategy has done quite well historically but i felt that a 12month signal was too long and too rigid. The model uses antonacci s unique approach to measuring momentum, which considers both absolute aka timeseries and relative aka crosssectional momentum, to trade a much larger basket of asset classes than his more wellknown traditional dual momentum. Momentum strategies, dual momentum gary antonacci meetup. Claude erb, retired managing director, tcw group, inc. Gary antonaccis dual momentum investing is what happens when ed thorpes beat the dealer meets seth klarmans margin of safety. I wanted to pick up not only on the direction of an asset but also the rate. Dual momentum is an innovative investing strategy developed by gary antonacci, where dual combines relative strength momentum with absolute momentum into a winning investing model. To understand the concepts behind the dual momentum investing model it is best to.
An innovative strategy for higher returns with lower risk, gary has given us a simple yet robust strategy called global equities momentum gem. Oct 05, 2016 after winning first place in 2012 in the naaim wagner competition, gary antonacci popularized his momentum investing approach in the award winning book dual momentum investing. Many of you may have heard of gary antonacci s strategy called global equities momentum gem in which he uses a dual momentum signal to compare us stocks to global stocks to bonds over the trailing 12 months. Antonacci presents a clear and scholarly sound case for the success of a simple momentumbased strategy. Among doityourself tactical investors, gary antonacci s dual momentum is the strategy.
Dual momentum combines both relative momentum crosssectional comparison against other assets performance and absolute momentum time series comparison against the assets own historical performance. Global equities momentum gem is a rulesbased approach using relative and absolute momentum applied to the following indexes. Prospecting dual momentum with gem gary antonacci popularized dual momentum with an effective and simple approach for dynamic asset allocation. An innovative strategy for higher returns with lower risk is an easy to follow strategy that can provide stronger performance with less volatility. This paper examines multiasset momentum with respect to what can make it most effective for momentum investors. Gary generously agreed to talk to our group remotely.
There are many theories of investing, but according to gary antonacci, principal at portfolio management consultants and author of the book. The magic is in the authors synthesis of both approaches into one novel strategy, aimed at longterm growth. Topic momentum strategies, dual momentum presenters title. Dual momentum gets its name from the two types of momentum that the system uses. Gary tested this dual momentum strategy over a 39 year period from october 1974 to october 20. I wanted to pick up not only on the direction of an. So, i honestly have very little criticism of the book beyond the fact that the book sort of insinuates as though equity momentum is the beallendall of investing, which is why i deduct a fraction of a point. Not only is the strategy incredibly robust, but since its so easy to follow 10 minutes per month of work compliance is likely to be high. An innovative strategy for higher returns with lower risk 8601415727654. Dual momentum is the king and queen of all market anomalies. Nov 06, 2014 strategy increases return while reducing portfolio volatility.
The strategy was inspired by a paper written by gary antonacci and available on optimal momentum. The logic behind these publicly available models and how to determine their allocations is fully disclosed in our book, dual momentum investing. This blog publishes the signals from gary antonacci s publicdomain global equities momentum gem strategy, as described in his 2014 book, dual momentum investing. We show that both absolute and relative momentum can enhance returns, but that absolute momentum does far more to lessen volatility and drawdown.
Sector trading strategies wiley trading book 77 by deron wagner 3. Apr 04, 20 there is a considerable body of research on relative strength price momentum but much less on absolute momentum, also known as time series momentum. We explore this idea with a case study, using the popular dual momentum gem strategy and a variety of lookback horizons for portfolio formation. Antonacci presents a clear and scholarly sound case for the success of a simple momentum based strategy. Gary antonaccis book, dual momentum, describes a momentum investment strategy.
Antonacci s dual momentum strategy he calls it gem, is incredibly simple a 3 fund strategy using 12 month returns. Dual momentum investing for more profit with less risk at the suggestion of our organizer and system researcher ryan s, who has been investigating momentum based trading, we contacted dual momentum investing book author gary antonacci. For a lighthearted introduction to momentum investing, i suggest why newton was wrong1. An innovative strategy for higher returns with lower risk 1st edition, kindle edition. Meet the inventor and author of dual momentum investing gary antonacci 07 april 2016 antonacci, momentum, dual momentum, quantitative investing as a value investor it took me a long time and a lot of research to accept that stock price momentum is a very important factor that you must incorporate in your investment strategy if you want. He is author of the awardwinning book, dual momentum investing. Using simulated etf data series, gems performance over. Antonacci combines to two approaches into a single system, hence the term dual momentum. An innovative strategy for higher returns with lower risk. There is a considerable body of research on relative strength price momentum but much less on absolute momentum, also known as time series momentum.
My thoughts on gary antonaccis dual momentum a wealth of. Gary introduced the world to dual momentum, which combines relative strength price momentum with trend following absolute momentum. Gary practices the sales pitch for his book and explains how to get rich slow. Antonaccis dual momentum strategy he calls it gem, is incredibly simple a 3 fund strategy using 12 month returns.
No other implementation of these models is authorized or endorsed by us. These strategies seek to invest in the stocks which are growing in value most rapidly. Using simulated etf data series, gems performance over past market conditions can be approximated. More profit with less risk through dual momentum by gary. Meet the inventor and author of dual momentum investing. In his book, antonacci offers what he calls a doityourself easy approach to investing based on his research going all the way back to turn of the previous century. Dual momentum investing amidst market volatility with gary. Dual momentum is a trading strategy that was originally expounded by gary antonacci in his original book. May 21, 2015 dual momentum captured the interest of many investors since gary antonacci published his book by the same title. Mar 20, 2019 in his book, antonacci compares excess returns of an asset over cash during a 12 month period to calculate a positive or negative momentum. Feb 19, 2016 smallcap value stocks historically have been the most productive of all major u. In 1990, he founded portfolio management consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. A strategy is only as good as an investors willingness to slavishly follow the system.
So, i honestly have very little criticism of the book beyond the fact that the book sort of insinuates as though equity momentum is the beallendall of investing, which is why i deduct a fraction. Gary published the dual momentum strategy in his book dual momentum investing, which he released in 2015 antonacci s dual momentum strategy s central concept is that an assets momentum is not only considered relative to other assets but also to. Information on relative and absolute momentum investing by gary antonacci. His innovative research on momentum investing was the first place winner in 2012 and the second place winner in 2011 of the founders awards for advances in active investment management given annually by the national association of active investment managers naaim. More profit with less risk through dual momentum by gary antonacci. The modular approach to dual momentum is the one described in antonacci 2012. Its also a fairly counterintuitive approach to get comfortable with. He then looked to see if the selected index has done better than u. He has focused on researching, developing, and applying underexploited investment strategies that have their basis in academic research.
Dec 16, 2014 gary antonacci is no snakeoil salesman. His innovative research on momentum investing was the first place winner in 2012 and the second place winner in 2011 of the founders awards for advances in active investment management given annually by the national association of. The magic is in the authors synthesis of both approaches into one novel strategy. Attached are the algorithm and a tearsheet analyzing the algorithms performance. How to avoid costly trading mistakes and make more money in the stock, etf, futures, and forex markets with this simple and reliable swing trading strategy. Gary antonacci meet the inventor and author of dual. For the latest release of the quantcon talks, ive implemented gary antonacci s dual momentum strategy on quantopian. After winning first place in 2012 in the naaim wagner competition, gary antonacci popularized his momentum investing approach in the award winning book dual momentum investing. The results in the book are quite impressive, with higher returns, lower volatility and lower drawdowns than the overall stock market. Gary antonacci has over 40 years experience as an investment professional focusing on underexploited investment opportunities. Gary antonacci has a harvard mba and over 45 years of experience as an investment professional.
If the better performer has positive absolute momentum, we buy that asset. My book uses a macro approach of applying momentum to indices and asset classes. Gary antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. I cloned your algo and took a look at the source code. Regardless of the reasons, investors should seek out the benefits of momentum, and gary antonacci s dual momentum investing provides both a fantastic introduction to momentum investing, as well as a sophisticated discussion of and an approach to achieving riskmanaged exposure to the anomaly across asset classes. The dual momentum strategy combines relative and absolute momentum. Nov 24, 2014 gary antonaccis book, dual momentum, describes a momentum investment strategy. His innovative research on momentum investing was the firstplace winner in 2012 and the secondplace winner in 2011. Strategy increases return while reducing portfolio volatility. In his book, antonacci compares excess returns of an asset over cash during a 12 month period to calculate a positive or negative momentum. Apr 28, 2017 the modular approach to dual momentum is the one described in antonacci 2012. Mar 06, 2017 by gary antonacci, author of dual momentum investing.
What i can say is that gary antonacci is a real, live human being who responds to email faster than almost anyone ive known. Absolute momentum these papers illustrate momentum principles and not meant to represent investable portfolios. It is the only book besides my dual momentum investing that relies on academic research to develop systematic momentum strategies. Momentum strategies to increase return and reduce risk. This approach dictates that every month, we compare two related sectors or two parts of a single sector and select the better performer over the formation period the prior twelve months. A simple rulebased strategy and universal trendfollowing overlay, our research paper demonstrating the versatility of absolute momentum. You can edit the algorithm in the ide and tinker with it yourself. Dual momentum captured the interest of many investors since gary antonacci published his book by the same title. An innovative strategy for higher returns with lower risk ebook. An innovative approach to higher returns with lower risk. An innovative strategy for higher returns with lower. Years ago when i first started studying momentum, two things stood out to me.
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