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Better System Trader

Better System Trader

Better System Trader is the podcast and blog dedicated to systematic traders, providing practical tips from trading experts around the world.

009 – Trading Momentum – Gary Antonacci

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garya1Gary Antonacci has over 35 years experience as an investment professional focusing on underexploited investment opportunities. His award-winning research on momentum investing combines relative strength price momentum with trend following absolute momentum.

He is recognized as a foremost authority on the practical applications of momentum investing. He serves as a consultant and public speaker on asset allocation, portfolio construction, and advanced momentum strategies.

In todays chat we discuss all things momentum, the different types of momentum and their individual applications, how they can be combined, how momentum can be refined, the benefits and challenges of momentum, why momentum works and much more.

‘Momentum has a lot of different applications’ – Gary Antonacci

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Topics discussed

  • The different types of momentum and their use
  • How to combine them for better performance
  • How Dual Momentum protects in a bear market
  • The benefits of Dual Momentum
  • The impact of lookback periods and rebalancing
  • Using Dual Momentum with other asset classes
  • Reducing the impact of mean reversion in stocks
  • Why momentum works and is likely to continue working in the future

Resources mentioned in this episode

    • To learn more about Gary and his work, checkout his websites Optimal Momentum and Dual Momentum or his research papers on SSRN
    • Recommended books:

You can get “Stocks for the Long Run” as a FREE audiobook here

  • Additional Websites:
    • SSRN
    • Quantocracy
    • Morning Star
    • Abnormal Returns

WIN a signed copy of Gary’s book – Dual Momentum Investing

ANNOUNCEMENT: This book draw is now CLOSED. The winner was Dan from California. Follow BetterSystemTrader on twitter (@bettersystrader) for more chances to win books and other prizes in the future.

2

Quotes

People were not exploiting Momentum in a way that made the most sense.

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Once the trend is no longer positive, step aside and exit into something more conservative.

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A large component of that excess return comes from avoiding the bear market equity erosion.

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Relative strength by itself is subject to extreme volatility at times.

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Momentum should continue to work into the future because human nature is not going to change.

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Top tips from this episode

  • The different types of momentum and their uses – relative strength is used to get you into the strongest instruments while absolute momentum is used for protection
  • A large component of the excess return using Dual Momentum comes from avoiding the bear market equity erosion
  • Keep it simple – you can’t get much simpler than Dual Momentum, it has just a few rules but has outperformed for over 40 years

Transcript

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Episode Released:

31 May 2015

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008 - Market Timing - Gary Stone
010 - Matching Strategies with M...

Related Posts

  • 008 – Market Timing – Gary Stone
  • 091 – Leveraging Exits with Laurent Bernut
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  • 002 – The Principles of Trading Success – Brent Penfold
  • 044 – Short Selling & Bear Markets (Part 2) – Laurent Bernut

Trackbacks

  1. Quantocracy's Daily Wrap for 05/31/2015 | Quantocracy says:
    June 1, 2015 at 3:18 pm

    […] Interview with Gary Antonacci [Better System Trader] Gary Antonacci has over 35 years experience as an investment professional focusing on underexploited investment opportunities. His award-winning research on momentum investing combines relative strength price momentum with trend following absolute momentum. He is recognized as a foremost authority on the practical applications of momentum investing. He serves as a consultan […]

  2. 06/05/15 - Friday Interest-ing Reads -Compound Interest Rocks says:
    June 10, 2015 at 10:48 pm

    […] A discussion with Gary Antonacci author of “Dual Momentum.”* (bettersystemtrader) […]

  3. 06/05/15 - Friday Interest-ing Reads -Compound Interest Rocks says:
    June 10, 2015 at 10:48 pm

    […] A discussion with Gary Antonacci author of “Dual Momentum.”* (bettersystemtrader) […]

  4. Gary Antonacci – Better System Trader | SAMUELSSONS RAPPORT says:
    June 12, 2015 at 8:42 am

    […] Källa: 009 – Gary Antonacci – Better System Trader […]

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