Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Hardcover | October 31, 2014

byGary Antonacci

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The strategy that consistently gets high returns with low risk--because it knows when to adapt

After examining more than two hundred years of data across dozens of markets and asset classes, the conclusion is clear: Momentum continually outperforms. However, most mainstream investors haven't had a way to fully discover and implement the benefits of momentum investing . . . until now! Whether you're an independent investor, investment professional, or money manager, Dual Momentum Investing enables you to consistently profit on major changes in relative strength and market trend.

Based on the award-winning work of Gary Antonacci, an expert in modern portfolio theory and optimization, this groundbreaking guide presents an easy-to-understand, straightforward model that transforms momentum concepts into an actionable investing strategy called Global Equity Momentum (GEM). By combining relative-strength momentumand absolute momentum, this proven methodology lets you take advantage of intramarket trends while avoiding large drawdowns. A disciplined implementation of his proven strategy enhances the ability of every trader to:

  • Lock in profi ts and mitigate risk with a minimal number of switches per year among US equities, non-US equities, and bonds
  • Establish meaningful control over investment risk once an asset's value begins to decline
  • Remove emotional and behavioral biases from your decision making while taking advantage of these same biases in other traders to achieve exceptional returns

    Each facet of GEM is explained with simple clarity using the perfect amount of supporting theory, historicalanalysis, and understandable data. Pragmatic techniques come to life with real-world relevance that both deepens your understanding of why dual momentum trading works and better prepares you for using it with your own investments. From picking a cost-effective brokerage firm, to making asset choices, to customizing your strategy as you near retirement--this reliable guide helps you do it all with the confidence you'll gain through repeated success.

    You put a lot into earning your wealth; now take the next step with Dual Momentum Investing and properly protect it while it's working for you.

    PRAISE FOR DUAL MOMENTUM INVESTING:

    "Gary Antonacci takes us on a comprehensive tour of investment methods, exploring their strengths and weaknesses, and lays out a strong case for combining absolute and relative momenta. I consider Dual Momentum Investing as an essential reference for system designers, money managers, and investors." -- ED SEYKOTA

    "Gary Antonacci's Dual Momentum Investing is what happens when Ed Thorpe's Beat the Dealer meets Seth Klarman's Margin of Safety. This is an ambitious and must-have book." -- CLAUDE ERB, retired Managing Director, TCW Group, Inc.

    "Antonacci presents a clear and scholarly sound case for the success of a simple momentum-based strategy. Give it a try; you'll be hooked!" -- JOHN NOFSINGER, PhD, Seward Chair of Finance, University of Alaska Anchorage, and author of The Psychology of Investing

    "A treasure of well-researched, momentum-driven investing processes. Antonacci clearly shows a number of different methods that anyone who is serious about a long-term strategy will find easy to implement. This is one of those five-star books; it is logical and easy to grasp." -- GREGORY L. MORRIS, Chief Technical Analyst and Investment Committee Chairman, Stadion Money Management, LLC, and author of Investing with the Trend

    "A must-read for both individual investors as well as financial advisors. It will forever change the way you think about developing investment and asset allocation strategies." -- DR. BOB FROEHLICH, retired Vice Chairman, Deutsche Asset Management

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From the Publisher

The strategy that consistently gets high returns with low risk--because it knows when to adaptAfter examining more than two hundred years of data across dozens of markets and asset classes, the conclusion is clear: Momentum continually outperforms. However, most mainstream investors haven't had a way to fully discover and implement the...

Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He earned an MBA at Harvar...

other books by Gary Antonacci

Format:HardcoverDimensions:9.2 × 6.2 × 0.9 inPublished:October 31, 2014Publisher:McGraw-Hill EducationLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0071849440

ISBN - 13:9780071849449

Customer Reviews of Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Reviews

Rated 2 out of 5 by from A degree is needed for this book Unless you have a degree in economics or something related, this book is not an easy read. I couldn't relate to it or use its information in my trading. I sold it to Amazon and got half my money back.
Date published: 2015-02-24
Rated 5 out of 5 by from A better way to invest I have been following Gary's work for almost 3 years now while researching several trading systems. He has been very helpful responding to all my questions and I've learned a great deal from him. It was especially nice to read about Gary's interesting finance career in this book. His network, experience & education made him the right person to discuss the wide range of topics & history he covered. As the name suggests, this book is about Momentum Investing: the idea that markets with strong relative strength continue outperforming in the short-term while weak markets continue to underperform. The author makes a very compelling case for why momentum is the "premier" anomaly for outperforming the broad market indices. He does this with a logical flow of ideas that are backed with a great deal of research every step along the way. The book starts by building a foundation with history and finance concepts, then explores all the various funds and alternative strategies out there before discussing what momentum is in detail. By looking at the alternatives, the reader appreciates why momentum stands out. The author has an excellent writing style. Finance books can get very dull, but Gary's humor and storytelling made the book enjoyable to read. Here is a summary of what I took from this book: In Chapter 1, Gary acknowledges that indexing beats the average investor since it is more diversified, disciplined and lower cost. This helps supports the idea that markets are efficient. However, while it's hard to beat indexing it's not impossible. You just need a systematic approach (to remove your emotions) that's been thoroughly tested and minimizes costs. Chapter 2 shows this with a historical tour of traders that successfully used momentum to generate excess return for over a century. Chapters 3-4 discussed concepts from Modern Finance in detail, which can be tough to follow if you don't have a finance background. I really enjoyed the discussion of Behavorial Finance in chapter 4. Investors' emotions cause them to buy and sell at the wrong times and are largely what cause markets to be inefficient. Anomalies like momentum should persist as long as humans have emotions. Chapters 5-6 discussed the investment landscape. It was shown that stocks have been the best performing asset class (especially US equities) followed by bonds. Gary then discussed other vehicles such as mutual funds, hedge funds and alternative strategies such as "smart beta." It was shown how these vehicles have (on average) underperformed market indices. The number of vehicles and strategies out there today is mind blowing. These 2 chapters can save readers years of frustration. Chapters 8-10 discussed the Dual Momentum strategy. Gary explained in detail what absolute vs. relative momentum is, how using both enhances his strategy and all the variations to his method that he explored. Backtest results for all permutations were presented in clear, organized tables & charts. In closing, dual momentum is a premier investment strategy with these benefits: - 17% CAGR with a 0.9 Sharpe Ratio over last 40 years - Robust in all market environments (up, down, sideways) - Persistent over long-run (excess returns since 1800s) - Systematic (eliminates your emotions and second-guessing yourself) - Very easy to implement & requires little time (simply glance at one chart, once a month) - Highly diversified: Uses broad-market ETFs, eliminating company-specific risk - Ultra low cost: Uses very liquid ETFs (low bid-ask spreads) with low MERs (<0.25%) and minimal trading (avg 1.3 trades/year) Do yourself a big favor. Read this book, invest with confidence and liberate your life.
Date published: 2015-01-27

Extra Content

Table of Contents

Foreword by Wesley R. Gray, PhD vii
Acknowledgments xi
Preface xiii

CHAPTER 1 World's First Index Fund 1
CHAPTER 2 What Goes Up . . . Stays Up 13
CHAPTER 3 Modern Portfolio Theory Principles and Practices 25
CHAPTER 4 Rational and Not-So-Rational Explanations of Momentum 35
CHAPTER 5 Asset Selection: The Good, the Bad, and the Ugly 45
CHAPTER 6 Smart Beta and Other Urban Legends 71
CHAPTER 7 Measuring and Managing Risk 83
CHAPTER 8 Global Equities Momentum 93
CHAPTER 9 Mo' Better Momentum 115
CHAPTER 10 Final Thoughts 135

APPENDIX A Global Equity Momentum Monthly Results 143
APPENDIX B Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay 145

Notes 173
Glossary 183
Bibliography 193
Recommended Reading 207
Index 209