Dual Momentum Investing: An Innovative Strategy for Higher

Dual Momentum Investing: An Innovative Strategy for Higher


Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk ➮ [Ebook] ➩ Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk By Gary Antonacci ➺ – Centrumpowypadkowe.co.uk The investing strategy that famously generates higher returns with substantially reduced risk presented by the investor who invented it A treasure of well researched momentum driven investing processe The investing strategy that famously generates higher Investing: An Kindle ´ returns with substantially reduced risk presented by the investor who invented it A treasure of well researched momentum Dual Momentum Kindle - driven investing processes Gregory L Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing: An PDF/EPUB ¿ Momentum Investing details the author s own momentum investing method that combines US stock, world stock, and aggregate bond indices a formula proven to dramatically increase profits while lowering riskAntonacci reveals how momentum investors could have achieved long run returns nearly twice as high as the stock market over the pastyears, while avoiding or minimizing bear market losses and he provides the information and insight investors need to achieve such success going forward His methodology is designed to pick up on major changes in relative strength and market trendGary Antonacci has overyears experience as an investment professional focusing on under exploited investment opportunities In , he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies He writes and runs the popular blog and website optimalmomentum Antonacci earned his MBA at Harvard.

    Dual Momentum Investing: An Innovative Strategy for Higher profits while lowering riskAntonacci reveals how momentum investors could have achieved long run returns nearly twice as high as the stock market over the pastyears, while avoiding or minimizing bear market losses and he provides the information and insight investors need to achieve such success going forward His methodology is designed to pick up on major changes in relative strength and market trendGary Antonacci has overyears experience as an investment professional focusing on under exploited investment opportunities In , he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies He writes and runs the popular blog and website optimalmomentum Antonacci earned his MBA at Harvard."/>
  • Kindle Edition
  • 240 pages
  • Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk
  • Gary Antonacci
  • English
  • 02 August 2019

About the Author: Gary Antonacci

Gary Antonacci has over years experience Investing: An Kindle ´ as an investment professional focusing on underexploited investment opportunities His innovative research on momentum investing was the first Dual Momentum Kindle - place winner in and the second place winner in of the Founders Awards for Advances in Active Investment Management given annually by the National Momentum Investing: An PDF/EPUB ¿ Association of Active Investment Managers NAAIMHis research introduced the investment world to dual momentum, which combines relative strength price momentum with trend following absolute momentumHe is widely recognized as a foremost authority on the practical applications of momentum investingAntonacci received his MBA degree from the Harvard Business School in Since then, he has concentrated on researching, developing, and applying innovative investment strategies that have their basis in academic research.



10 thoughts on “Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

  1. Bill Krieger Bill Krieger says:

    QOTD1Simplicity is the ultimate sophistication Leonardo da VinciOnethis funny little gem comes out of nowhere.QOTD2In the words of Richard Driehaus, The stock market is like a woman You observe her You respond to her And you respect her That is not as easy as it sounds Just ask my ex wife Gary Antonacci, Dual Momentum Investing rim shot, he he This is a good investment book I am a BIG momentum and relative strength guy The most positive aspect of the book is its simplicity QOTD1Simplicity is the ultimate sophistication Leonardo da VinciOnethis funny little gem comes out of nowhere.QOTD2In the words of Richard Driehaus, The stock market is like a woman You observe her You respond to her And you respect her That is not as easy as it sounds Just ask my ex wife Gary Antonacci, Dual Momentum Investing rim shot, he he This is a good investment book I am a BIG momentum and relative strength guy The most positive aspect of the book is its simplicity The dual in Dual Momentum is 1 relative momentum picking the best performing security out of a group of them, and2 absolute momentum only investing in a security when it s return is positive over a period of timeThe worst part of Dual Momentum is its simplicity see how clever I am there the positive aspect is the same as the negative clever, how s that working out for you This book is 200 pages of support for some really simple stuff It was overdone, I think, in attempt to give the book an academic feel to it This isn t necessary.The basic algorithm is this Antonacci uses returns from the past 12 months to make decisions In the Global Equities Momentum algorithm, he chooses between a US security like SPY and a World ex US security like VEU You run this algorithm each month Step 1 Pick the best performer of US vs World over the last 12 months relative momentum Step 2 If the winner in step 1 has a positive return over the last 12 months, then buy it Otherwise, go to bonds cash absolute momentum Done.One weird funny thing The book is black and white and many of the charts with 5 6 gray lines are completely unreadable.I ll wrap with the key concept, and the reason I love momentum algorithms This approach allows you to invest while reducing the risk of a huge drawdown Markets don t just fall off a cliff First they underperform, and then they fall off a cliff Or not Either way, you re protected.QOTD3With dual momentum, we can comfortably focusin equities, especially U.S equities, and capture this higher risk premium Dual Momentum InvestingBTW, here s the website www.optimalmomentum.com.This is a good investment read.yow, bill

  2. Raj Rajkumar Raj Rajkumar says:

    An elegant survey of modern financial theories and a deep dive into one simple innovation dual momentum that appears to outperform established investment strategies Succinct yet comprehensive, and a compelling read.

  3. Christine Christine says:

    This is a very interesting strategy that s been tested over many decades I wish I had noted that there was a glossary at the end Some of the jargon threw me and I couldn t read the charts on my Kindle But well worth reading Now I ve got to try it out

  4. Stevewilliams27 Stevewilliams27 says:

    Easy read, well documented and backed up with facts Counter intuitive to buy low sell high value investing Will be referring back to this book regularly.

  5. Taylor Pearson Taylor Pearson says:

    I ve gotten interested and started using different trend following approaches in my investments Trend following is a particular strategy that seems somewhat counterintuitive you buy when things are going up and sell when they are going down.However, it has one major thing to recommend it it doesn t experience large losses By selling when markets trend lower, trend approaches can miss out on gains, but protect investors from large losses.This intuitively makes sense to me from a risk managem I ve gotten interested and started using different trend following approaches in my investments Trend following is a particular strategy that seems somewhat counterintuitive you buy when things are going up and sell when they are going down.However, it has one major thing to recommend it it doesn t experience large losses By selling when markets trend lower, trend approaches can miss out on gains, but protect investors from large losses.This intuitively makes sense to me from a risk management perspective and the math works a 50% loss requires a 100% gain to get back to break even If you can clip off the left tail of the distribution the big losses , there s less room to make it up and that should improve your long term returns.Dual Momentum Investing is a particular approach to trend following that uses two trend indicators hence dual to move in and out of the market.The author does a great job explaining the overall investing landscape and evaluating the two main anomalies value and momentum.It then goes into detail about a specific momentum based system that is relatively easy to implement using very liquid ETFs.If you d like to go deeper into trend following, particularly why using multiple look back periods is important, here are some excellent pieces of 201 level content From Fragility Robustness Equity Momentum the Uncertain Payout of Trend Following and Rebalancing

  6. Asif Asif says:

    The first part of the book was a great recap of all the major discoveries in the field of finance and investing The second part is the actual strategy to follow Since I read a couple of other books on momentum, the strategy in its core looked quite similar to others Each author that I read had his own way of calculating relative momentum and having a filter criteria which some defined as a Moving Average or in this case absolute momentum Despite the different jargon they are actually the sam The first part of the book was a great recap of all the major discoveries in the field of finance and investing The second part is the actual strategy to follow Since I read a couple of other books on momentum, the strategy in its core looked quite similar to others Each author that I read had his own way of calculating relative momentum and having a filter criteria which some defined as a Moving Average or in this case absolute momentum Despite the different jargon they are actually the same Overall a good read The fact that I finished it despite reading two other books on momentum investing means that the author kept me entertained

  7. Vitalijus Sostak Vitalijus Sostak says:

    Every investor is required to have a solid understanding of both value and momentum This book is a solid practical writing both what momentum is and how to apply it in a portfolio without going into complex statistical models.Two thoughts 2 3 of the book is a lengthy introduction into the topic of asset price momentum origins, history, how it relates to modern portfolio theory etc While interesting for some readers, many would be served well jumping right into the meat chapters 7 and 8 Every investor is required to have a solid understanding of both value and momentum This book is a solid practical writing both what momentum is and how to apply it in a portfolio without going into complex statistical models.Two thoughts 2 3 of the book is a lengthy introduction into the topic of asset price momentum origins, history, how it relates to modern portfolio theory etc While interesting for some readers, many would be served well jumping right into the meat chapters 7 and 8 In those chapters author presents dual momentum strategy and its results over several decades of backtesting Concise and interesting, reminds me of Meb Faber s writing just like with any style, it all works well until it does not Joel Greenblatt s strategy described in Little book that beats the market 2006 also had a stellar back tested track record value based As we know, value peaked in 2007 and is still badly lagging, 13 years later Caveat emptor markets can easily have a decade or longer of volatile, trendless environment that would destroy momentum strategy results, too

  8. InvestingByTheBooks.com InvestingByTheBooks.com says:

    This is not a text on stock picking strategies as I mistakenly assumed it s a book on asset allocation using momentum strategies 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 derivate based investment strategies Here he s written a book aiming to take the academic underpinnings of momentum strategies and show how these can be profited from The proposed strategy called Global Equiti This is not a text on stock picking strategies as I mistakenly assumed it s a book on asset allocation using momentum strategies 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 derivate based investment strategies Here he s written a book aiming to take the academic underpinnings of momentum strategies and show how these can be profited from The proposed strategy called Global Equities Momentum GEM uses a combination of relative momentum to decide where to invest within equities and absolute momentum to decide when to be in equities in the first place.The book could broadly be divided into 3 parts The first few chapters are a tour of the academic theory of efficient markets, of behavioural finance and of momentum investing but also of the history of momentum practitioners The crude summary is that EMT is wrong and momentum investing works The latter is thanks to behavioural factors The reader is served a veritable who s who of financial academia and momentum investing and despite that in my opinion it s a bit over the top to refer to 217 academic papers and books on the 141 pages of Dual Momentum Investing, the text is still really enjoyable However, if the reader hasn t a complete overview of academic research it is hard to control for the author s potential selection bias in which academic papers are brought forward To the best of my knowledge the picture that is painted is reasonably objective.The next set of chapters gives background information to the GEM strategy A number of alternative asset classes and investment strategies are examined The general conclusion is that investors haven t been able to generate alpha through them or that they haven t shown much absolute returns over time or that something else is wrong with them Although I sympathize with momentum investing I found this part a bit over selling Basically nothing works apart from momentum.The last part of the book presents Antonacci s model and discusses tweaks and alternatives The model looks to the performance over the last 12 months and matches the best performer of US stocks and international stocks against US T bills If the best performing equity index has outperformed T bills then the money goes into this equity index If not, then money will be invested in bonds The strategy is executed through liquid ETFs with low transaction costs.In the author s backtests the GEM strategy 1974 to 2013 gives a brilliant annual return of 17.4 percent, with a Sharpe ratio of 0.87 and a maximum drawdown of 22.7 percent This is compared to a global equity index with 8.9 percent returns, 0.22 in Sharpe ratio and a maximum drawdown of 45.7 percent As a side note, Warren Buffett s Sharpe ratio during about the same period was 0.76.The strategy is a rather unassuming yet efficient combination of equity universe selection based on relative price momentum and a risk management strategy based on relative equity market momentum compared to T bills Since T bills will return something close to zero, this latter could be said to be an absolute strategy Since the stock indices lack a risk management strategy, the best relative performance for GEM is in stock market crashes The absolute momentum part is obviously an intellectual cousin to using 200 day moving averages and Antonacci shows that the strategies yield very similar results.The free spirited character and anti authoritarian streak of Antonacci come forward in a nice way in the text At the same time the author is extremely learned If something I would have liked to hearabout Antonacci s own experiences in the markets to complement all the academic research.I would say that the average investor would get much better investment returns by switching to the GEM strategy However, if everybody did switch it would destabilize the financial markets but this is clearly true of any investment strategy

  9. Dennis Podryadchikov Dennis Podryadchikov says:

    To invest, one needs a strategy A simple one is the three fund approach by the bogleheads on the related forum A different kind of strategy is Dual Momentum by Gari Antonacci In his book, Antonacci offers what he calls a do it yourself easy approach to investing based on his research going all the way back to turn of the previous century Step by step, the book outlines ideas and methods to approaching two simple tools, relative and absolute momentum, which Gary combines in what he calls th To invest, one needs a strategy A simple one is the three fund approach by the bogleheads on the related forum A different kind of strategy is Dual Momentum by Gari Antonacci In his book, Antonacci offers what he calls a do it yourself easy approach to investing based on his research going all the way back to turn of the previous century Step by step, the book outlines ideas and methods to approaching two simple tools, relative and absolute momentum, which Gary combines in what he calls the Dual Momentum The strategy is simple, the author has chosen two indexes, an U.S and all world except the U.S., and switches between them if they are above the value of the treasury bills depending on returns in the last twelve months All the calculations are done once a month, and there is a minimum number of trades Even though the concept is easy to grasp and the book is easy to read save all the technical research , not many investors follow the suit allocating the strategyinto the niche rather than a general strategy However, readers should decide for themselves

  10. Henry Henry says:

    The author presents an intriguing investment strategy which potentially offers advantages over the traditional 70 30 index fund approach I 19m not sure there was really enough material for an entire book, but that 19s not why you buy a book like this anyway.

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