An innovative strategy for higher returns with lower risk ebook. Risk premia harvesting through momentum gary antonacci portfolio management associates1 april 23, 2012 abstract momentum is the premier market anomaly. Garys dual momentum investing book chapter 8s how to use it section. We show that both absolute and relative momentum can enhance returns, but that absolute momentum does far more to lessen volatility and drawdown.
Gary antonacci with a background in as diverse areas as the us military, harvard business school and touring as a comedy magician, is a pioneer in developing derivatebased investment. 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. My thoughts on gary antonaccis dual momentum a wealth of. Gary s dual momentum investing book chapter 8s how to use it section. Interview with gary antonacci better system trader gary antonacci has over 35 years experience as an investment professional focusing on underexploited investment opportunities. I recently read or devoured, is more accurate, gary antonaccis dual momentum investing. Awardwinning author gary antonacci on momentum investing. Gary antonacci is a financial researcher and consultant.
He introduced the investment world to dual momentum which combines relative. The strategy was inspired in part by gary antonaccis risk premia. Gary antonacci is an author, consultant, and public speaker on momentum investing. Introduction to momentum the definition momentum is a word we sometime use in everyday language. This paper examines multiasset momentum with respect to what can make it most effective for momentum investors. Gary antonaccis excellent book dual momentum investing is a cult hit. Momentum is the tendency of investments to persist in their performance. As a regular reader of the works of bill bernstein, larry swedroe, and the like, i approached. Dual momentum investing details the authors own momentum investing method that combines u. Risk premia harvesting through dual momentum by gary. The logic behind these publicly available models and how to determine their allocations is fully disclosed in our book, dual momentum investing.
For some of my backtests on a similar strategy click here and here and most. All good investment strategies are based on taking advantage of other investors mistakes and behavioral biases. Last week we explored a simple dual momentum strategy using three portfolios consisting of three mutual funds. Dual momentum uses relative strength momentum to choose between risky assets and trend following absolute momentum to manage portfolio risk. Gary practices the sales pitch for his book and explains how to get rich slow. 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. When we say someone has a lot of momentum, it means they are. Dual momentum, a book by gary antonacci, looks to minimize these problems. He covers the history of momentum, the academic research, and why momentum work sand even its pitfalls.
The strategy has done quite well historically but i felt that a 12month signal was too long and too rigid. Gary antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. 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. These strategies seek to invest in the stocks which are growing in value most rapidly. My guest for this episode of informed choice radio is gary antonacci. Risk premia harvesting through dual momentum semantic scholar. This modification produced higher returns against the flowchart on page 101 for the few backtests that i executed. Author interview antonacci, gary dual momentum investing. This is more profit with less risk through dual momentum gary antonacci. Ilab 82 dual momentum investing with gary antonacci. The book explains in detail the difference between the two types of momentum based investing. How to explain momentum with rational investors its.
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. Based on the awardwinning work of gary antonacci, an expert in modern portfolio theory and optimization, this groundbreaking guide presents an easytounderstand, straightforward model. My thoughts on gary antonaccis dual momentum a wealth. You get a synergy that happens when you use dual momentum guest. Dual momentum investing by gary antonacci overdrive. For a lighthearted introduction to momentum investing, i suggest why newton was wrong1. Gary antonacci has over 35 years experience as an investment professional focusing on underexploited. In 1990, he founded portfolio management consultants, which advises. Is gary antonaccis global equity momentum strategy robust.
More profit with less risk through dual momentum gary. A recent theory paper from researchers at nyu and rutgers attempts to explain the empirical evidence on stock serial correlation e. His innovative research on momentum investing was the first place winner. The second dual momentum strategy is the gem strategy from antonaccis book dual momentum investing. Interview with gary antonacci better system trader. A simple rulebased strategy and universal trendfollowing overlay april 20. So, i honestly have very little criticism of the book beyond the fact that the. 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. An innovative strategy for higher returns with lower risk gary antonacci 9780071849449. Gary has over 40 years experience as an investment professional, focusing on underexploited investment opportunities.
We are visiting today with gary antonacci, author of the award winning. 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. Gary antonaccis dual momentum investing is what happens when ed thorpes beat the dealer meets seth klarmans margin of safety. Author of dual mode investing by thomas craven film corporation on vimeo. 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. Gary antonacci has over 40 years experience as an investment professional focusing on underexploited investment opportunities. With respect to fixed income, jostova, niklova and philipov 2010 show that momentum strategies are highly profitable among noninvestment. Information on relative and absolute momentum investing by gary antonacci. Momentum strategies to increase return and reduce risk.
Gary antonacci meet the inventor and author of dual. Meet the inventor and author of dual momentum investing. Gary antonacci, author of the awardwinning book dual momentum investing, explains the merits of a momentumbased approach to. Gary has over 40 years experience as an investment professional focusing on. Global equities momentum strategy gary antonacci introduced gem in his awardwinning book dual momentum investing. Its a must watch for anyone wanting to learn about momentum. There is a considerable body of research on relative strength price momentum but much less on absolute momentum, also known as time series momentum. The logic behind these publicly available models and.
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