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One of the variables in Dual Momentum models is their time frame, or a look-back period. If U.S. stocks outperform Treasuries over 12 months, they tell investors to sit in stocks. https://ru.wikipedia.org/wiki/%D0%AD%D0%BB%D0%B5%D0%BA%D1%82%D1%80%D0%BE%D0%BD%D0%BD%D0%B0%D1%8F_%D1%82%D0%BE%D1%80%D0%B3%D0%BE%D0%B2%D0%B0%D1%8F_%D0%BF%D0%BB%D0%B0%D1%82%D1%84%D0%BE%D1%80%D0%BC%D0%B0 If U.S. stocks in that time also outperformed foreign stocks, the model would point to S&P 500 stocks. If all else fails, the model would point you to short-term Treasuries.

Here are the results for the equities and bonds modules from 2007 to March 2017. The ETFs used were SPY/CWI and CSJ/HYG respectively. We can see that over this period, Modular Dual Momentum resulted in returns that were comparable with the best performing component but with a fraction of the maximum drawdown.

Momentum has been observed across financial markets over long time frames, but the momentum investment philosophy has yet to achieve widespread acceptance within the public. Ben Graham inspired legions of copy-cat value investors, but where is the Ben https://ru.investing.com/brokers/cryptocurrency-brokers Graham of momentum and where are the legions of momentum traders? In a world where investors usually seek to combine uncorrelated risks of all stripes to achieve better risk-adjusted returns, momentum seems like a “no-brainer” addition to a portfolio.

How Dual Momentum Works

Performance metrics of asset classes we’ll consider. Small Cap international (VINEX) has done quite well overall but required a fair amount of risk.Now let’s take the “original” dual momentum strategy and make some tweaks. The links are to the individual backtests in Portfolio Visualizer, final balances shown are for a $10,000 investment at the beginning of 1998 growing until February 2018. Our proven strategy of systematically targeting stocks whose individual share price is both increasing and outperforming over medium to long term time frames will continue to be applied.

The results are also consistent with Gary’s finding that Dual Momentum tends to underperform during strong bull regimes or when the market rebounds, but thanks to its ability https://en.wikipedia.org/wiki/Bookkeeping to weather bear markets, has outperformed in the long run. You could say that GEM has lost its effectiveness if you believe U.S. stocks will always outperform non-U.S.

• Note that my implementations have some important differences from the approach that Gary describesinDual Momentum Investingandon his website.
• Namely, the book touches upon the fact that commodities no longer trend, so a lot of CTAs are taking it on the chin, and that historically, fixed income has performed much worse from an absolute return than equities.
• We prefer 12-months because there is the most out-of-sample evidence supporting it.
• Second, the current bull market has been one of the longest in history.

Implementing Dual Momentum

Our active bottom-up investment style will guide portfolio allocations such that they will continue to expand or contract in response to market risk and reward characteristics as they continue to evolve. Ben, thanks for the introduction to https://forexarena.net/ this simple strategy. After I read this post, I picked up your book and Gary Antonacci’s Dual Momentum Investing. I used to be a dyed-in-the-wool value guy, but it’s very difficult to deny the evidence presented after a thorough deep dive.

The specific Dual Momentum rules that Antonacci takes about in his book is Global Equity Momentum (GEM). With this strategy, the investor holds one asset at a time. The choice of assets are the S&P 500, the ACWI exuding U.S. index, or Aggregate Bonds.

My Thoughts on Gary Antonacci’s Dual Momentum

It’s simple to use and execute by rotating in and out of three inexpensive ETFs. We currently live in a world where most investors, with little to no financial knowledge, believe that their only safe choices are managed funds or passive investment in an extremely diversified set of stocks or index funds/ETFs. This is unfortunate, as Antonacci proves, with around 200 years of market data (not a measly 20 years or https://forexarena.net/if-you-can-how-millennials-can-get-rich-slowly/ so), that there is a way to reasonably beat the market, all while protecting your assets more robustly. 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.

Trivia About Dual Momentum Inv…

stocks or there will never be another bear market. If GEM underperforms over shorter periods of time, dual momentum A Look Into Mr. Timothy Geithner’s “Stress Test: Reflections on Financial Crises” investors are willing to accept that because of the drawdown protection it has shown during severe bear markets.