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Dual Momentum Investing by Gary Antonacci

Gary Antonacci, author of Dual Momentum Investing: An Innovative Approach to Higher Return with Lower Risk, presented "More Profit with Less Risk Through Dual Momentum" at this year's QuantCon, our annual quant trading conference.

During his talk, Gary reviews the most common investment vehicles throughout history while explaining their advantages and disadvantages. He then shows how momentum can help accentuate the positives and eliminate the negatives. Using easily understood examples and historical research findings, Gary shows how relative strength momentum can enhance investment return, while trend-following absolute momentum can dramatically decrease bear market exposure. Finally, Gary shows how you can implement and easily maintain your very own dual momentum portfolio using the best assets classes.

You can view his talk below, and follow along with his presentation slides here. We also created a cloneable notebook which you can use to replicate the study.

 

If you missed QuantCon in New York City, join us in November for QuantCon Singapore!

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TuZ

Thank you for this summary. Can you tell whether Antonacci uses total returns or just price action in determining which investment to use? What do you think of a possible simplification of just comparing us vs international vs bond and investing in best performing?

Lotanna Ezenwa

From the talk, he compares the total return over the lookback period, as opposed to the price action. This is because the relative indices should be compared in their relative performance.

I can't really speak to the simplification of comparison, but I believe that would be a good question to ask on the forums: https://www.quantopian.com/posts/quantcon-2016-dual-momentum-strategy

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