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. Gary antonacci may not be happy to learn that his dual momentum label has been pirated by a team of academics huang, zhang, and zhou 1 2 in a new paper that explores the combination of price and fundamental momentum stockpicking strategies. Dual momentum, a book by gary antonacci, looks to minimize these problems. Antonacci is author of the awardwinning book, dual momentum investing.
Dual momentum investing details the authors own momentum investing method that combines u. Dual momentum with stock selection alpha architect. The word momentum, in the context of investing, takes me back to the gogo. Antonacci reveals how momentum investors could have achieved longrun returns nearly twice as high as the stock market over the past 40 years, while avoiding or. As a regular reader of the works of bill bernstein, larry swedroe, and the like, i approached the subject with a fair amount of skepticism. This paper examines multiasset momentum with respect to what can make it m. My thoughts on gary antonaccis dual momentum a wealth of. Peter james lingane, ea, cfp february 28, 2017 this is a working document. Gary antonacci s dual momentum investing provides both a fantasticintroduction to momentum investing, as well as a sophisticateddiscussion of and an approach to achieving riskmanaged exposure to the anomaly across asset classes. The authors also investigate the common rebuttal that transaction costs destroy stock momentum strategies. Todays episode is with the award winning author and expert of modern portfolio theory gary antonacci. For his innovative research on momentum investing, gary antonacci was the 2012 first place and 2011 second place winner of the prestigious wagner awards for advancements in active investment management given annually by the national association of active investment.
Dual momentum uses relative strength momentum to choose between risky. Gary antonaccis dual momentum is the strategy we tend to see implemented the most. I wanted to pick up not only on the direction of an. Dual momentum captured the interest of many investors since gary antonacci published his book by the same title. The word momentum, in the context of investing, takes me back to the gogo years of the late 90s and painful losses. This is more profit with less risk through dual momentum gary antonacci.
Regardless of the reasons, investors should seek out the benefits of momentum, and gary antonaccis 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. An innovative approach to higher returns with lower risk. 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. Antonacci, gary, risk premia harvesting through dual momentum october 1, 2016. An innovative strategy for higher returns with lower risk, and it was clear to me that this was an important book to share with you and fellow robot wealth readers. A different kind of strategy is dual momentum by gari antonacci. Author of dual mode investing by thomas craven film corporation on vimeo. Gary s dual momentum investing book chapter 8s how to use it section. Apr 28, 2017 i recently read gary antonaccis book dual momentum investing. An innovative strategy for higher returns with lower risk ebook. The model uses antonaccis 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.
It offers a simple trading system that crushes the market in both absolute and riskadjusted terms. An innovative strategy for higher returns with lower risk ebook free by gary antonacci epubmobi ebook4expert. Author interview antonacci, gary dual momentum investing. Gary antonacci meet the inventor and author of dual. Based on the awardwinning work of gary antonacci, an expert in modern portfolio theory and systems development, this groundbreaking guide presents an easytounderstand, straightforward model that transforms momentum concepts into an actionable investing strategy called global equity momentum gem. This is a test of composite dual momentum, broadly based on gary antonaccis paper. How much can dual momentum increase your investment returns. Using momentum investing and trend following money for the rest of us sneak peak. Gary antonaccis dual momentum investing provides both a fantasticintroduction to momentum investing, as well as a sophisticateddiscussion of and an approach to achieving riskmanaged exposure to the anomaly across asset classes.
Gary antonaccis 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. Second, market fundamentals do not suggest that either bonds or equities will generate reliably strong rates of return over the next 1015 years on a buyandhold basis research affiliates 20182. Apr 28, 2016 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. This modification produced higher returns against the flowchart on.
Dual momentum gets its name from the two types of momentum that the system. Modules help ensure that diversified asset classes receive portfolio representation under a dual momentum framework, without. I get a number of reader requests for writing ideas on this site, but by far the most requested topic has been for my take on this book and the strategy antonacci lays out. But momentum portfolios as set forth in gary antonaccis book dual momentum 2014 may provide a constructive solution to these problems. 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. This sheet is not investment advice for an additional disclaimer click here. Gary antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities.
Dual momentum investing ebook epubpdfprcmobiazw3 download. This modification produced higher returns against the flowchart on page 101 for the few backtests that i executed. An innovative strategy for higher returns with lower risk. The logic behind these publicly available models and how to determine their allocations is fully disclosed in our book, dual momentum investing. Gary antonacci is a financial researcher and consultant. Nov 06, 2014 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. Gary antonacci over 40 years experience as an investment professional focusing on underexploited investment opportunities 2012 first place winner of the wagner award for advances in active investment management by the national association of active investment managers naaim author of the awardwinning book, dual momentum. Jul 08, 2015 dual momentum, a book by gary antonacci, looks to minimize these problems. To understand the concepts behind the dual momentum investing model it is best to. Antonacci, gary, risk premia harvesting through dual momentum. Is gary antonaccis global equity momentum strategy robust.
Risk premia harvesting through dual momentum semantic scholar. Dual momentum investing pdf dual momentum investing dual momentum investing gary antonacci dual momentum stock market investing for beginners essentials to start investing successfully momentum momentum currency momentum masters the momentumma trading method how to trade momentum stocks momentum, value and smart beta investments. Gary antonacci founder expert with optimal momentum. Risk premia harvesting through dual momentum gary antonacci portfolio management associates, llc1. Dual momentum is the combination of relative and absolute momentum. An innovative strategy for higher returns with lower risk, mcgrawhill education, first edition, gary antonacci, 2014 extended backtest of global equities momentum history of momentum research. 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. Dual momentum investing by gary antonacci overdrive.
Dual momentum is the granddaddy of momentum investment systems. Annotated bibliography of selected momentum research papers, 3 fact, fiction and momentum investing by clifford s. 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. In 1990, he founded portfolio management consultants, which advises private and institutional investors on asset alloca. In my next post, ill explore gary antonaccis book, dual momentum, which explains the two different types of momentum relative and absolute. 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. Gary antonacci, dual momentum investing rim shot, he he. Mar 06, 2017 by gary antonacci, author of dual momentum investing.
Gary practices the sales pitch for his book and explains how to get rich slow. Many of you may have heard of gary antonaccis 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. Why momentum investing works a wealth of common sense. Dual momentum investing dual momentum investing gary antonacci stock market investing for beginners essentials to start investing successfully momentum how to trade momentum stocks momentum, value and smart beta investments spacecraft momentum control systems market momentum martin pring pdf fundamentals of momentum, heat and mass transfer. Strategy background inspired by gary antonnaci at optimal momentum. Gary antonacci has over 40 years experience as an investment professional focusing on underexploited investment opportunities.
Antonacci reveals how momentum investors could have achieved longrun returns nearly twice as high as the stock market over the. Dual momentum investing pdf dual momentum investing dual momentum investing gary antonacci dual momentum stock market investing for beginners essentials to start investing successfully momentum momentum currency momentum masters the momentum ma trading method how to trade momentum stocks momentum, value and smart beta investments spacecraft. I wanted to pick up not only on the direction of an asset but also the rate. We show that both absolute and relative momentum can enhance returns, but that absolute momentum does far more to lessen volatility and drawdown. Momentum strategies to increase return and reduce risk. More profit with less risk through dual momentum gary. Meet the inventor and author of dual momentum investing. This paper examines multiasset momentum with respect to what can make it most effective for momentum investors. Risk premia harvesting through dual momentum by gary antonacci. Oct 31, 2014 a different kind of strategy is dual momentum by gari antonacci. The book explains in detail the difference between the two types of momentumbased investing.
Momentum is the tendency of investments to persist in their performance. The model uses antonaccis 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 well. Antonacci has also devised a system that tries to minimize the flaws that are seen in most momentum investment strategies, so ill explore dual momentum in more detail to see how it works. Garys dual momentum investing book chapter 8s how to use it section. An innovative strategy for higher returns with lower risk combines relativestrength momentum with absolute momentum into an actionable investing strategy.
Dual momentum investing by gary antonacci quantcon 2016. My thoughts on gary antonaccis dual momentum a wealth. In his book, antonacci offers what he calls a doityourself easy approach to investing. The book explains in detail the difference between the two types of momentum based investing. Gary antonaccis excellent book dual momentum investing is a cult hit. Dual momentum investing ebook epubpdf prcmobiazw3 download for kindle, mobile, tablet, laptop, pc, ereader.
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. Gary antonacci over 40 years experience with underexploited investments 2012 first place winner of the naaim wagner award author of dual momentum investing. It is possible for a stock price to have positive relative momentum if it is strong relative to other companies and negative absolute momentum if its own trend has been down. The strategy has done quite well historically but i felt that a 12month signal was too long and too rigid. As a regular reader of the works of bill bernstein, larry swedroe, and the like. Risk premia harvesting through dual momentum by gary. Apr 14, 2016 gary antonacci over 40 years experience as an investment professional focusing on underexploited investment opportunities 2012 first place winner of the wagner award for advances in active investment management by the national association of active investment managers naaim author of the awardwinning book, dual momentum. For his innovative research on momentum investing, gary antonacci was the 2012 first place and 2011 second place winner of the prestigious wagner awards for advancements in active investment management given annually by the national. January 28, 20 abstract momentum is the premier market anomaly. An innovative strategy for higher returns with lower risk gary antonacci. Gary antonacci founder expert with optimal momentum website. Myplaniq interview with gary antonacci on momentum based investing. Information on relative and absolute momentum investing by gary antonacci. To sidestep these drawbacks, heres a strategy laid out based on gary antonaccis studies about dual momentum and absolute momentum, with the difference that, while he used the socalled dual momentum in multiassets universes index etfs, bonds, etc, the universe we are presenting is made up exclusively of stocks.