Momentum researcher and author of Dual Momentum Investing
Gary Antonacci
Gary Antonacci is a U.S. investment researcher with an MBA from Harvard Business School and the founder of Optimal Momentum. He developed 'dual momentum', which combines relative-strength momentum with trend-following 'absolute' momentum, and set it out in Dual Momentum Investing (McGraw-Hill, 2014). His momentum research placed second (2011) and first (2012) in NAAIM's Wagner Award competition.
What they argue
- Relative momentum (owning the stronger of several assets) and absolute momentum (holding an asset only if its own past return beats T-bills) work best together.
- Absolute momentum does more than relative momentum to cut volatility and drawdowns, though both can raise returns.
- His Global Equities Momentum (GEM) model is reviewed monthly. It compares U.S. and non-U.S. stocks over 12 months and moves to bonds when stocks fail to beat T-bills.
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Books and papers
- Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk (McGraw-Hill) (2014)
- Risk Premia Harvesting Through Dual Momentum (SSRN working paper; later Journal of Management & Entrepreneurship 11(1), 2017) (2012)
- Momentum Success Factors (NAAIM Wagner Award, 1st place) (2012)
- Optimal Momentum Investing (NAAIM Wagner Award, 2nd place) (2011)
Dual momentum (stock vs SPY vs T-bills)
Rule and full recordMomentum · month-end
Antonacci's two tests at once: the stock must beat T-bills (absolute momentum) and beat the market (relative momentum) over 12 months.
Best risk-adjusted results against buy and hold: