"More Profit with Less Risk through Dual Momentum" by Gary Antonacci

Рет қаралды 37,823

Күн бұрын

by Gary Antonacci, Author of "Dual Momentum Investing: An Innovative Approach to Higher Returns with Lower Risk". From QuantCon NYC 2016.
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....
To learn more about Quantopian, visit us at www.quantopian.com.
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.

Пікірлер: 34

@AlexVoxel 3 жыл бұрын

From time to time I return here, this presentation is very very good! Thank you Gary Antonacci!

@rahulrane4290 4 жыл бұрын

just listen to this presentation and save the 40 bucks on the book as this is essentially everything in the book. You're welcome!

@saravanaub 3 жыл бұрын

But he didn't share how to build dual momentum. Do you know where to look for it?

@kenanishmael3328 3 жыл бұрын

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.

@serenitefinanciere Ай бұрын

Great conference !

@TheeDisruptor 2 жыл бұрын

Can you provide the link to the 100 momentum stocks at alpha architect? It is not clear where this is published.

@space_cowboy007 2 жыл бұрын

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?

@adamlee3317 2 жыл бұрын

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.

@hEmZoRz 2 жыл бұрын

This is what should happen - and indeed happens - to most easily tradable mispricing-based (i.e., irrational, behavioral, non-risk-based, what ever you want to call them) anomalies when they become public; they get priced away. Gary published his book about dual momentum in late 2014. (And in fact, whether an anomaly disappears after becoming public knowledge is a solid measure of whether the anomaly carries hidden risk or costs that keep prices irreversibly inefficient, or whether it's due to investors' irrational behavior.)

@ashton_aiden Жыл бұрын

I did a backtest in PV as well from 2001 till today......i manage to beat buy and hold SPY total return by almost double at half the max drawdown of buying and holding SPY.....just need to do some changes on the ETF selection as well as look back period. By looking at just 12 months back is too slow to capture market reversal

@joeypeteza3554 3 жыл бұрын

thank you

@saravanaub 3 жыл бұрын

Great content thanks.

@samidelhi6150 4 жыл бұрын

Effective mid point spread is not symmetric random variables so .....!?

@drek273 11 ай бұрын

markov chains can achieve this "dual momentum" if its turned into a long/short approach

@anindadatta164 2 жыл бұрын

This absolute momentum strategy between equity index and bond index should remain only if strong negative correlation between equity and bond exists.

@hEmZoRz 2 жыл бұрын

Indeed, but the low/negative correlation is not merely an empirical finding. There's a solid theoretical basis for that, too, which isn't going to change anytime soon.

@dudea3378 Жыл бұрын

@@hEmZoRz This aged like milk. Welcome to 2022.

@hEmZoRz Жыл бұрын

@@dudea3378 What? Go ahead and read my comment again. The theoretical underpinnings have not changed. Of course the correlations fluctuate in the short run in the real world, but in the long run, on average, the correlation is bound to be in the low-negative territory.

@Elaba_ 3 жыл бұрын

How many times in a year has to be sold on average? I ask this for tax purposes.

@samidelhi6150 4 жыл бұрын

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

@NathansHVAC 4 жыл бұрын

Comparing monthly to catch when the trend turns. The trends dont turn that fast. Elections, market cycle, ect.....

@thirty-four7497 2 жыл бұрын

you check monthly, but its not going to change every month

@desoztopdesoz2456 4 жыл бұрын

This would not have saved you in the correction of 2020

@scottphillips8117 3 жыл бұрын

Actually it would have. It wouldn't have flipped you into short, and then forced you to buy back equities at a higher price. In the fullness of time thats the correct decision in retrospect

@misterf.8872 4 жыл бұрын

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?

@desoztopdesoz2456 3 жыл бұрын

not hard at all, there are people who have free updates every month about what to buy and sell, or its easy to do it on a spreadsheet for yourself,

@thestyler124 3 жыл бұрын

@@desoztopdesoz2456 Hi desoz, can you advise on some of these people who use it? I am finding a hard time implementing the strategy specifically when it comes to calculating the Rolling 12 Months Returns. Do you use log-returns or discrete returns?

@desoztopdesoz2456 3 жыл бұрын

@@thestyler124 You can make it complicated if you want, but usually, and this is what antonuuci does he just compares the values, for example the price today compared to the price 12 months ago.... it its greater, then its buy, if its less, then do not buy

@thestyler124 3 жыл бұрын

@@desoztopdesoz2456 I don't quite understand, how can we compare the returns for SPY vs ACWI ex US if we only look at prices? imagine SPY is at 11 and was at 10 and the ACWI ex US is at 25 and was at 19. you cannot compare 11 vs 25 right? Sorry for the silly question

@desoztopdesoz2456 3 жыл бұрын

@@thestyler124 which ever one has the greater percentage gain,