What a privilege it was to speak with the infamous ‘Mr Dual Momentum’ himself, Gary Antonacci this week.

In an insightful episode of "The Algorithmic Advantage" podcast, we are joined by Gary Antonacci, a notable figure in the finance sector, best known for his innovative dual momentum investment strategy. With an illustrious background that includes an MBA from Harvard and substantial experience in various facets of the financial industry, Gary shares his journey from working in brokerage to collaborating with trading legends in managed futures, and ultimately to his pivotal discovery of momentum investing. This strategy, which he meticulously developed and shared through his influential book, Dual Momentum, has significantly impacted the investment models used today by many family offices and significant investors.

During the discussion, Gary delves into the dual momentum strategy, emphasizing its foundation on absolute and relative momentum to exploit the persistence of performance across different asset classes. He highlights the importance of discipline, logical model development, and the dangers of data overfitting. Gary also discusses the behavioural underpinnings of momentum investing, such as the disposition effect, and the benefits of a global investment outlook to circumvent home country bias. Wrapping up, he assures listeners of the enduring nature of momentum as a potent financial phenomenon, rooted deeply in human behaviour and market dynamics, reinforcing the value of disciplined and well-researched investment approaches in navigating the complexities of financial markets.

I thought it was interesting to hear Gary clarify, post-show, why he chose the terms he did for absolute and relative momentum, and I thought it would be well worth sharing here. Essentially, he prefers ‘relative’ to ‘cross-sectional’ and ‘absolute’ as opposed to ‘time series’ momentum.

Cross-sectional applies when you segment a single market into group rankings such as deciles based on returns over a given lookback period. Relative momentum is more inclusive. It includes this but also can be applied when you compare the performance of different assets. It makes no sense to refer to that as cross-sectional momentum.

Absolute momentum makes more sense than time-weighted momentum since all momentum looks at economic time series in the form of asset returns.

Investors are familiar already with relative and absolute returns. Referring to momentum the same way makes intuitive sense.

I hope you enjoy getting back into the show and listening to this super informative episode.

Please share the show with someone and help us get the word out there!

Some of the resources related to the show:

Gary’s book:
[ Ссылка ]
Over 800 years of trend following research was mentioned, sourced from this book:
[ Ссылка ]
Gary’s papers on SSRN:
[ Ссылка ]
Two Centuries of Momentum paper on SSRN:
[ Ссылка ]

Get in touch with Gary:
x: [ Ссылка ]
li: [ Ссылка ]
w: [ Ссылка ]

www.thealgorithmicadvantage.com

свернуть