This recently published book on momentum investing has been the subject of much discussion in. My thoughts on gary antonaccis dual momentum a wealth. 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. Author of dual mode investing by thomas craven film corporation on vimeo. An innovative strategy for higher returns with lower. And finally we get to the strategy that is the basis of the book. Dual momentum investing ebook epubpdfprcmobiazw3 download. Antonacci reveals how momentum investors could have achieved longrun returns nearly twice as high as the stock market over. Some highlevel conclusions all results are associated with the longshort dual momentum portfolio. Stock momentum top and bottom 10%, months 212 momentum jan 1927dec 2014, rebalanced monthly source. An innovative strategy for higher returns with lower risk. The dual momentum cannot be spanned by extant risk factor models, nor can it be explained by shortsale impediments and investor sentiment. The strategy was inspired by a paper written by gary antonacci and available on optimal momentum.
As the chart above depicts, employing a dual momentum strategy keeps the portfolio out of the 20082009 drawdown by shifting to tlt when ioto and efa both perform lower than the hurdle rate tlt. Then again shifts to ioto or efa when regular conditions markets resume. For the latest release of the quantcon talks, ive implemented gary antonaccis dual momentum strategy on quantopian. Results are hypothetical, and are not an indicator of future results, and do not represent returns that any investor actually attained. Investors fasttrack is an industry leading mutual fund, etf, and stocks market data provider. An innovative strategy for higher returns with lower risk gary antonacci 9780071849449. An innovative strategy for higher returns with lower risk gary antonacci 9780071849449 9780071849449 20190723t. Nov 15, 2015 if i had launched a dual momentum fund at the same time that i started investing my own nest egg in this manner, its safe to say that big money would not be flowing into my fund right about now. The book explains in detail the difference between the two types of momentumbased investing. The dual momentum approach would force us into the assets that had both gone up and outperformed their peers. Morris, chief technical analyst and chairman, investment committee of stadion money management, llc, and author of investing with the trend dual momentum investing details the authors own momentum investing method that combines u. Absolute momentum will let you participate in any market that has a positive trend and relative momentum will let you invest in the best performing assets for as long as the trends continues.
An innovative strategy for higher returns with lower risk gary antonacci. Last week we explored a simple dual momentum strategy using three portfolios consisting of three mutual funds. If i had launched a dual momentum fund at the same time that i started investing my own nest egg in this manner, its safe to say that big money would not be flowing into my fund right about now. Dual momentum jan 1971 feb 2016 cagr standard deviation sharpe ratio worst drawdown dual momentum 16. An innovative strategy for higher returns with lower risk a copy is. The authors also investigate the common rebuttal that transaction costs destroy stock momentum strategies. The strategy that consistently gets high returns with low riskbecause it knows when to adaptafter examining more than two hundred years of data across dozens of markets and asset classes, the conclusion is clear. 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.
Traditionally you invest in asset a when its trend is strongest and asset b when its trend is strongest. Risk premia harvesting through dual momentum by gary. Dual momentum dual momentum investing dual momentum investing pdf dual momentum investing gary antonacci momentum momentum currency momentum masters forex momentum trading how to trade momentum stocks the momentumma trading method spacecraft momentum control systems market momentum martin pring pdf blade. Personal financeinvesting, 2015 international book awards dual momentum investing details the authors own momentum investing method that combines u.
Dual momentum, a book by gary antonacci, looks to minimize these problems. Personal finance investing, 2014 usa best book awards. The logic behind these publicly available models and how to determine their allocations is fully disclosed in our book, dual momentum investing. Dual momentum investing by gary antonacci quantcon 2016. How much can dual momentum increase your investment returns.
This report compares the historical performance of the dual momentum, fundx and sectorsurfer momentum strategies. Attached are the algorithm and a tearsheet analyzing the algorithms performance. 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. The investing strategy that famously generates higher returns with substantially reduced riskpresented by the investor who invented it a treasure of well researched momentumdriven investing processes. Sep 15, 2014 book trailer for dual momentum investing to learn more. If you could ever create a spreadsheet for the dual momentum sector rotation that would be awesome. An innovative strategy for higher returns with lower risk by gary antonacci, 9780071849449, download free ebooks, download free pdf epub ebook. Mar 15, 2017 to create the dual momentum stockpicking strategy, the authors go long the top price momentum top fir portfolio and short the low price momentum low fir portfolio the 2 red portfolios circled in the table above. You can edit the algorithm in the ide and tinker with it yourself. Personal financeinvesting, 2014 usa best book awards. Python backtest code using historic data going back to either 1970 for dual momentum or 1926 for absolute momentum no historic international data available pre1970. Dual momentum with stock selection alpha architect. This is more profit with less risk through dual momentum gary antonacci.
Mar 20, 2019 there are two types of momentum investing relative momentum and absolute momentum. An innovative strategy for higher returns with lower risk book. Chapter 8 global equities momentum dual momentum investing. Dual momentum investing, part 2 scotts investments. The momentum part tries to take advantage of the psychology of the market in which investors are attracted to things that are going up which means they tend to keep going up. Apr 28, 2017 the dual momentum approach would prevent us buying such assets. The book explains in detail the difference between the two types of momentum based investing. Dual momentum investing by gary antonacci overdrive. We show that both absolute and relative momentum can enhance returns, but that absolute momentum does far more to lessen volatility and drawdown. Dec 26, 2012 dual momentum investing, part 2 december 26, 2012 oyenscott 14 comments last week we explored a simple dual momentum strategy using three portfolios consisting of three mutual funds. About three years ago, in the year of 2015, i read a book by gary antonacci entitled dual momentum investing.
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. More profit with less risk through dual momentum vimeo. Chapter 8 global equities momentum there is a tide in the affairs of men which, when taken at the flood, leads to fortune. Meet the inventor and author of dual momentum investing. In his book antonacci makes a strong case for combining relative strength price momentum with trend following absolute momentum. Antonacci reveals how momentum investors could have achieved longrun returns nearly twice as high as the stock market over the. Jul 08, 2015 dual momentum, a book by gary antonacci, looks to minimize these problems. Combining price momentum and fundamental momentum yield a dual momentum that has an average return more than the sum of both price momentum and fundamental momentum. Dual momentum investing details the authors own momentum investing method that combines u. 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. My thoughts on gary antonaccis dual momentum a wealth of. I cloned your algo and took a look at the source code. Apr 29, 2015 and finally we get to the strategy that is the basis of the book. This is a test of composite dual momentum, broadly based on gary antonaccis paper.
For a lighthearted introduction to momentum investing, i suggest why newton was wrong1. Dual momentum investing can be used in any market environment due to its adaptable nature. These strategies seek to invest in the stocks which are growing in value most rapidly. 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. Morris, chief selection from dual momentum investing. William shakespeare w e have seen how momentum evolved, what assets are best to include in a momentumbased model, and what we mean by relative, absolute, and dual momentum. Momentum strategies to increase return and reduce risk. After laying out the case for momentum, antonacci lays out an extremely simple, 3 fund strategy for capturing relative and absolute momentum. Since investors fasttracks founding in 1989, fasttrack data has been a key component to thousands of money managers and individuals market success. Personal finance investing, 2015 international book awards. In about two thirds of his book gary rewiews and explains momentum in great detail.
At the end the author proposes a variety of strategies under common name dual momentum, which. Personal financeinvesting, 2014 usa best book awards finalist,business. Antonaccis dual momentum investment is an incredibly well researched volume on momentum investing. We have also identified the tools and criteria we need for evaluating our results. 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. Apr 14, 2016 dual momentum jan 1971 feb 2016 cagr standard deviation sharpe ratio worst drawdown dual momentum 16.
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. Dual momentum uses relative strength momentum to choose between risky assets and trend following absolute momentum to manage portfolio risk. In 2017 i read a book by gary antonacci entitled dual momentum investing. Likewise, an asset might be going up and have positive absolute momentum, but if other assets performed better, it would have negative relative momentum. Dual momentum investing and momentum in general try to address both issues. If that happens you are not familiar with momentum, i would recommend it as an introductory text. 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.
Treasury bills during periods of pervasive, negative trends. It is a great help in my putting together a 34 etf dual momentum portfolio. Personal financeinvesting, 2015 international book awards. An innovative strategy for higher returns with lower risk a copy is available here, that synthesizes his wide experience in momentum investing into a single approach, and makes it available to the investing public. This paper examines multiasset momentum with respect to what can make it most effective for momentum investors. Relative momentum relative momentum is a binary comparison, between assets a and b.
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