The kipling spreadsheet can be used to manage a portfolio of stocks and an example is linked below. Dual momentum is a trading strategy that was originally expounded by gary antonacci in his original book. Gary antonacci has furthered this area of research considerably by introducing us to dual momentum. This is a test of composite dual momentum, broadly based on gary antonacci s paper. Gary antonacci quotes author of dual momentum investing. Gary antonacci s excellent book dual momentum investing is a cult hit.
I consider dual momentum investing as an essential reference for system designers, money managers, and investors. Gary is quite explicit that based on his research, the best application of dual momentum is the one presented in his book, or a similar one that focuses on equities, which have historically offered the highest risk premium. Ed seykota gary antonacci s dual momentum investing is what happens when ed thorpes beat the dealer meets seth klarmans margin of safety. His awardwinning research on momentum investing combines relative strength price momentum with trend following absolute momentum. The strategy has done quite well historically but i. 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 risk. I recently read or devoured, is more accurate, gary antonacci s dual momentum investing. The magic is in the authors synthesis of both approaches into one novel strategy, aimed at longterm growth. More profit with less risk through dual momentum gary. More profit with less risk through dual momentum by gary antonacci. Gary antonacci popularized dual momentum with an effective and simple approach for dynamic asset allocation.
An innovative strategy for higher returns with lower risk ebook written by gary antonacci. Gary antonacci is an industry veteran with over 35 years of experience as an investment professional. In about two thirds of his book gary rewiews and explains momentum in great detail. Meet the inventor and author of dual momentum investing. His paper shows that the combination of timeseries momentum and crosssectional momentum has generate intriguing results historically. Download for offline reading, highlight, bookmark or take notes while you read dual momentum investing. Garys dual momentum investing book chapter 8s how to use it section.
It is possible for a share price to have positive relative momentum if it is strong relative to its peers and negative absolute momentum if its own trend has been down. 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. Gary antonacci is a financial researcher and consultant. A simple rulebased strategy and universal trendfollowing overlay 33 pages posted. But momentum portfolios as set forth in gary antonaccis book dual momentum 2014 may provide a constructive solution to these problems. Since antonacci combines both relative momentum and absolute momentum ie dual momentum. Dual momentum, a concept pioneered by gary antonacci, intelligently combines elements of two types of momentum investing strategies absolute and relative momentum into a comprehensive asset allocation system.
Gary antonacci s dual momentum investing is what happens when ed thorpes beat the dealer meets seth klarmans margin of safety. Momentum investing is simple, but sticking with it may not always be easy. When gary antonacci first shared the dual momentum strategy, he outlined a specific process that diy investors could follow to narrow their investment of choice using absolute momentum timeseries momentum and relative momentum crosssectional momentum both forms of momentum are demonstrated by ample academic research as generating better riskadjusted returns compared to. Gary antonacci recently published a book dual momentum investing that has raised quite a bit of discussion in the quantitative investing community. An innovative approach to higher returns with lower risk. 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. An innovative strategy for higher returns with lower risk 8601415727654. Dual momentum uses relative strength momentum to choose between risky assets and trend following absolute momentum to manage portfolio risk. Interviews with experts to learn how to invest in stocks, real estate, commodities and alternative investments. By combining trendfollowing absolute momentum and traditional relative momentum, investors can increase their expected return while reducing volatility and severe bear market drawdown. Gary introduced the world to dual momentum, which combines relative strength price momentum with trend following absolute momentum. The main idea behind dual momentum is to keep in tune with market forces. An innovative strategy for higher returns with lower risk. About three years ago, in the year of 2015, i read a book by gary antonacci entitled dual momentum investing.
Dual momentum is the combination of relative and absolute momentum. You get a synergy that happens when you use dual momentum guest. Antonacci combines to two approaches into a single system, hence the term dual momentum. The idea was that he combined relative momentum how assets are performing compared to each other and absolute momentum how assets are performing in comparison to shortterm treasuries. Using simulated etf data series, gems performance over past market conditions can be approximated.
Dual momentum, sortino ratio and portfolio management. Gary has over 40 years experience as an investment professional focusing on underexploited investment opportunities. My thoughts on gary antonaccis dual momentum a wealth. Scotts investments provides a free dual etf momentum spreadsheet which was originally created in february 20. Since receiving his mba degree from the harvard business school, gary has concentrated on researching, developing, and applying innovative investment. Is gary antonaccis global equity momentum strategy robust. Since the advent of gary antonaccis dual momentum book, published in 2015, ive had a keen. Like according to rulesbased momentum, you buy the strongest 10% to 30% stocks over the past 6 to 12 months, hold them 1 to 3 months, then reevaluate and rebalance the portfolio. His book and website are great resources for those interested in implementing dual momentum in their own portfolio. A different kind of strategy is dual momentum by gari antonacci.
He has focused on researching, developing, and applying underexploited investment strategies that have their basis in academic research. 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. Interview with gary antonacci better system trader gary antonacci has over 35 years experience as an investment professional focusing on underexploited investment opportunities. More profit with less risk through dual momentum by gary. At the end the author proposes a variety of strategies under common name dual momentum, which. Everyday low prices and free delivery on eligible orders. Author of dual mode investing by thomas craven film corporation on vimeo. This is more profit with less risk through dual momentum gary antonacci. This modification produced higher returns against the flowchart on page 101 for the few backtests that i executed. How much can dual momentum increase your investment returns. Corey starts out saying in 20, i created my global equities momentum gem model. An innovative strategy for higher returns with lower risk is an easy to follow strategy that can provide stronger performance with less volatility. 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. Gary antonacci has a harvard mba and over 45 years of experience as an investment professional.
An innovative strategy for higher returns with lower risk 1 by antonacci, gary isbn. In his book, antonacci compares excess returns of an asset over cash during a 12 month period to calculate a positive or negative momentum. If that happens you are not familiar with momentum, i would recommend it as an introductory text. The logic behind these publicly available models and how to determine their allocations is fully disclosed in our book, dual momentum investing. An innovative strategy for higher returns with lower risk if you want to see how he applies dual momentum. Myplaniq interview with gary antonacci on momentum based investing.
He is author of the awardwinning book, dual momentum investing. Claude erb, retired managing director, tcw group, inc. It offers a simple trading system that crushes the market in both absolute and riskadjusted terms. Dual momentum, a book by gary antonacci, looks to minimize these problems. Dual momentum gets its name from the two types of momentum that the system uses. Antonacci has a new book out, dual momentum investing. Dual momentum investing amidst market volatility with gary. Ive written a number of articles related to this method of investing. Gary s dual momentum investing book chapter 8s how to use it section. We exit to the safety of bonds when stocks are weak. We do that by investing in the strongest stock indices when they are in an uptrend. My thoughts on gary antonaccis dual momentum a wealth of. His innovative research on momentum investing was the firstplace winner in 2012 and the secondplace winner in 2011.
Gain insights into launching a hedge fund incubator, managed funds, or independent investment advisory firm. Antonacci presents a clear and scholarly sound case for the success of a simple momentum based strategy. I get a number of reader requests for writing ideas on this site. Dual momentum was created and publicly shared by gary antonacci, a canadian asset manager who has worked in the u. Interview with gary antonacci better system trader.
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. The results in the book are quite impressive, with higher returns, lower volatility and lower drawdowns than the overall stock market. Gary practices the sales pitch for his book and explains how to get rich slow. There are many theories of investing, but according to gary antonacci, principal at portfolio management consultants and author of the book. Corey hoffstein of newfound research recently wrote an article called, fragility case study. The strategy was inspired by a paper written by gary antonacci and available on optimal momentum. Dual momentum combines both relative momentum crosssectional comparison against other assets performance and absolute momentum time series comparison against the assets own historical performance. Risk premia harvesting through dual momentum by gary.