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 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.

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.

Quotes

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