"More Profit with Less Risk through Dual Momentum" by Gary Antonacci
37,815
Published 2017-03-06
Gary will begin by reviewing the most common investment vehicles throughout history while explaining their advantages and disadvantages. He will then show how momentum can help accentuate the positives and eliminate the negatives. Using easily understood examples and historical research findings, Gary will show how relative strength momentum can enhance investment return, while trend-following absolute momentum can dramatically decrease bear market exposure. Finally, Gary will show how you can implement and easily maintain your very own dual momentum portfolio using the best assets classes.
The slides for this presentation can be found at www.slideshare.net/Quantopian/dual-momentum-invest….
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Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
All Comments (18)
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From time to time I return here, this presentation is very very good! Thank you Gary Antonacci!
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just listen to this presentation and save the 40 bucks on the book as this is essentially everything in the book. You're welcome!
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Great conference !
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Bravo! You deserve that reward! All good but i would also see its greatness in daily trading as well, need to work on that. Because of Dual M. is an intermediate phenomena , based on current findings it doesn't work with the daily trading. Thanks for the presentation :) I liked it.
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Can you provide the link to the 100 momentum stocks at alpha architect? It is not clear where this is published.
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Great content thanks.
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thank you
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36:00 : why show absolute momentum in the bull market chart then relative momentum in the bear market chart? Doesn't that make dual momentum appear better than it actually is?
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If you run the dual momentum simulator on Portfolio Visualizer, you will find that Buy and Hold the S&P has outperformed this strategy every year since 2015. Also you would have taken the same drawdown from the covid crash in 2020.
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Effective mid point spread is not symmetric random variables so .....!?
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Question , you said in dual momentum there is 1.3 average trades a year , but with monthly rebalance ? Should it be 12 trades a year as per the monthly rebalance, pls clarify
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How many times in a year has to be sold on average? I ask this for tax purposes.
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This absolute momentum strategy between equity index and bond index should remain only if strong negative correlation between equity and bond exists.
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markov chains can achieve this "dual momentum" if its turned into a long/short approach
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I remember finishing the presenter's book awhile back. I found it interesting but it seemed incredible hard to apply from a practical sense. Maybe things have changed?
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This would not have saved you in the correction of 2020
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“People can be irrational. That’s for all people not just my ex wife”
