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Dual Momentum Investing
Gary Antonacci
Portfolio Management Consultants
Gary Antonacci
• Over 40 years’ experience as an investment
professional focusing on underexploited
investment opportunities
• 2012 first place winner of the Wagner Award
for Advances in Active Investment
Management by the National Association of
Active Investment Managers (NAAIM)
• Author of the award-winning book, Dual
Momentum Investing: An Innovative Approach
to Higher Returns with Lower Risk
Topics for Today
• What is momentum?
• Why does momentum work?
• Momentum issues
• How to best use momentum
What is Momentum?
Sir Isaac Newton (1643-1727)
“A body in motion tends
to stay in motion.”
Buy strong stuff!
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Dual Momentum Investing by Gary Antonacci QuantCon 2016
David Riccardo (1772-1823)
“Cut your losses short, and
let your profits run on.”
Jesse Livermore and Richard Wyckoff
Alfred Cowles III & Herbert Jones
Econometrica, July 1937
NYSE stocks from 1920-1935
The tendency is very pronounced
for stocks that have exceeded the
median in one year to exceed it
also in the following year.
– Cowles & Jones
Random Walk Hypothesis
Efficient Market Hypothesis
ACADEMICS GET ON BOARD
Behavioral finance - 1979
Behavioral finance - 1979
Value and size factors – 1982
Behavioral finance - 1979
Value and size factors – 1982
Mean Reversion – 1988, 1990
Jegadeesh & Titman
Seminal 1993 study using 1962 to 1989 US
stock market data
Jegadeesh & Titman
Seminal 1993 study using 1962 to 1989 US
stock market data
Compare deciles ranked by momentum
Jegadeesh & Titman
Seminal 1993 study using 1962 to 1989 US
stock market data
Compare deciles ranked by momentum
3 to 12 month momentum works!
U.S. Stock Momentum
Top and bottom 10%, months 2-12 momentum
Jan 1927-Dec 2014, rebalanced monthly
Source: Ken French Data Library and Standard & Poor’s. Results are hypothetical, and are NOT an indicator of future
results, and do NOT represent returns that any investor actually attained.
Winner Loser SP500
CAGR 16.95% -1.5% 10.0%
Standard Deviation 22.6% 33.9% 19.1%
Downside Deviation 16.7% 22.0% 14.2%
Sharpe Ratio 0.66 -0.02 0.41
Worst Drawdown -77.0% -97.0% -84.6%
Momentum works with stocks,
stock indices, sectors, bonds,
commodities, and currencies
from 1800 until now!
Source: Geczy and Samonov (2015), “215 years of Global Multi-Asset Momentum: 1800-2014”
WHY MOMENTUM WORKS
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Anchoring/Conservatism
Initial Underreaction
Anchoring/Conservatism
Slow diffusion of information
Initial Underreaction
Anchoring/Conservatism
Slow diffusion of information
Disposition effect
Initial Underreaction
Herding
Later Overreaction
Herding
Representativeness
Later Overreaction
Herding
Representativeness
Overconfidence
Later Overreaction
Systematic Momentum
• High and consistent returns
• Works with all assets
• Has persisted over time
• Good reasons for it
Fama & French
The premier market anomaly is momentum.
Stocks with low returns over the past year
tend to have low returns for the next few
months, and stocks with high past returns
tend to have high future returns.
“Dissecting Anomalies”
Journal of Finance, July 2008
Want To Do Momentum?
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Have a Nice Trip!
MOMENTUM ISSUES
Scalability
Results are hypothetical, and are NOT an indicator of future results, and do NOT represent returns that any
investor actually attained. Please see disclosures for additional information.
50 Stock
Portfolio
100 Stock
Portfolio
150 Stock
Portfolio
200 Stock
Portfolio
250 Stock
Portfolio
300 Stock
Portfolio
500 Stock
Universe
1 month hold 17.0% 14.4% 13.6% 12.7% 12.1% 11.5% 9.8%
2 month hold 16.1% 14.2% 13.2% 12.6% 12.0% 11.4% 9.8%
3 month hold 15.2% 13.8% 12.9% 12.3% 11.7% 11.2% 9.8%
4 month hold 14.5% 13.5% 12.8% 12.1% 11.6% 11.2% 9.8%
5 month hold 14.4% 13.3% 12.6% 12.0% 11.6% 11.2% 9.8%
6 month hold 13.9% 13.1% 12.4% 11.9% 11.5% 11.1% 9.8%
7 month hold 13.7% 12.8% 12.1% 11.7% 11.3% 11.0% 9.8%
8 month hold 13.4% 12.6% 11.9% 11.5% 11.2% 10.9% 9.8%
9 month hold 12.9% 12.2% 11.6% 11.2% 11.0% 10.8% 9.8%
10 month hold 12.6% 11.9% 11.4% 11.0% 10.9% 10.7% 9.8%
11 month hold 12.2% 11.6% 11.1% 10.8% 10.7% 10.5% 9.8%
12 month hold 11.8% 11.3% 10.8% 10.6% 10.5% 10.4% 9.8%
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Oldest Momentum Funds
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Brooklyn Bridge
What To Do?
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Relative Momentum
Switches between the S&P 500 index and
MSCI All Country World Index (ACWI) ex-US
Monthly rebalancing, 12-month look back
50
500
5000
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base =100
Relative Momentum S&P 500 MSCI ACWI ex-US
Global Macro Participation
Vertical Diversification
S&P 500 55% always
MSCI ACWI ex-US 45% always
Horizontal Diversification
S&P 500 MSCI ACWI ex-US
55% of the time 45% of the time
50
500
5000
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base =100
Relative Momentum S&P 500 MSCI ACWI ex-US
2014 Dalbar Report
• Past 20 year annualized returns
• Average U.S. equity fund investor: 5.0%
• S&P 500 index: 9.2%
Source: Dalbar, Inc, “Quantitative Analysis of Investor Behavior”
We don’t have people with investment
problems. We have investments with
people problems.
-Gregg Fisher
Risk Premiums
Source: Jeremy Siegel, Stocks for the Long Run, McGraw-Hill
Bond Risks
Worst real return drawdown since 1900:
Stocks -73%
Bonds -68%
Since 1807, worst rolling 10-year real
return has been worse for bonds
When To Be In Bonds?
Two Types of Momentum
• Relative (cross-sectional)
– compare performance to our peers
• Absolute (time-series)
– compare performance to ourself
Absolute Momentum
• Switches between the S&P 500 index and
the Barclays US Aggregate Bond index
• Monthly rebalancing, 12-month look back
50
500
5000
1
9
7
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1
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base =100
S&P 500 Absolute Momentum S&P 500 Aggregate Bonds
HOW TO BEST USE MOMENTUM
Dual Momentum
• Absolute momentum switches between a stock
index and the Barclays US Aggregate Bond index
• Relative strength momentum switches between
the S&P 500 index and the MSCI All Country
World Index (ACWI) ex-US
• Monthly rebalancing, 12-month look back
50
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5000
50000
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Dual Momentum Relative Momentum Absolute Momentum S&P 500 MSCI ACWI ex-US
Dual Momentum
Jan 1971 - Feb 2016 CAGR
Standard
Deviation
Sharpe
Ratio
Worst
Drawdown
Dual Momentum 16.7 12.6 0.87 -17.8
Absolute Momentum 12.6 12.0 0.60 -29.6
Relative Momentum 13.0 16.0 0.51 -54.6
S&P 500 Index 10.2 15.2 0.36 -51.0
MSCI ACWI ex-U.S. 9.8 17.3 0.32 -57.4
Results are hypothetical, are NOT an indicator of future results, and do NOT represent returns that any investor actually
attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index.
Bull Versus Bear Markets
Results are hypothetical , are NOT an indicator of future results, and do NOT represent returns that any investor actually attained.
Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index.
Bull Markets S&P 500 Abs Mom Dual Mom
Jan 71-Dec 72 36.0 32.6 65.6
Oct 74-Nov 80 198.3 91.6 103.3
Aug 82-Aug 87 279.7 246.3 569.2
Dec 87-Aug 00 816.6 728.4 730.5
Oct 02-Oct 07 108.3 72.4 181.6
Mar 09-Jul15 227.7 136.8 106.4
Average 277.7 218.1 292.7
Bull Versus Bear Markets
Results are hypothetical , are NOT an indicator of future results, and do NOT represent returns that any investor actually attained.
Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index.
Bear Markets S&P 500 Rel Mom Dual Mom
Jan 73-Sep 74 -42.6 -35.6 15.1
Dec 80-Jul 82 -16.5 -16.9 16.0
Sep 87-Nov 87 -29.6 -15.1 -15.1
Sep 00-Sep 02 -44.7 -43.4 14.9
Nov 07-Feb 09 -50.9 -54.6 -13.1
Average -36.9 -33.1 3.6
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Advantages of Dual Momentum
• High Returns
• High Scalability
• Low Trading Costs
• Low Left Tail Risk
Risks ?
Tracking Error: 1979-80 and 2009-11
Tracking Error: 1979-80 and 2009-11
Whipsaws and Lags in Bull Markets
Tracking Error: 1979-80 and 2009-11
Whipsaws and Lags in Bull Markets
Short Term Volatility
Dual Momentum Investing by Gary Antonacci QuantCon 2016
Patience
Discipline
Understanding
WINNER USA Best Book Award
5 Star Rating : 240+ Reviews
Easy D-I-Y Instructions
Dual Momentum Investing
Questions
May the Momentum Be With You!
Disclosures
This presentation is for educational and informational purposes only. Nothing contained therein should be
interpreted as personalized investment advice. Under no circumstances does this information represent a
recommendation to buy, sell or hold any security. Users should be aware that all investments carry risk and may
lose value. Users of these sites are urged to consult their own independent financial advisors with respect to any
investment. Anyone using these sites for investment purposes does so at his or her own risk. By using this
information you assume the risk that the contents may at times be inaccurate, incomplete or may not meet your
needs and requirements. We are not liable for any errors or inaccuracies, regardless of cause, or for the delay or
interruptions in the transmission of information to our users. Opinions and analysis included therein are based on
sources believed to be reliable and written in good faith, but no representation or warranty is made as to their
accuracy, completeness, or timeliness. You should always obtain your own current information and perform due
diligence before making any investment decisions. All performance represents total returns and includes
reinvestment of interest and dividends but does not reflect management fees, transaction costs, taxes, or other
expenses. You cannot invest directly in indexes. Future performance of these models may differ significantly from
historical performance. Hypothetical performance results are presented for illustrative purposes only and should
not be interpreted as an indication of future performance. Hypothetical performance results (e.g., quantitative
back tests) have many inherent limitations, some of which, but not all, are described herein. One of the
limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In
addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely
account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to
a particular trading program in spite of trading losses can adversely affect actual trading results. The hypothetical
performance results contained herein represent the application of the quantitative models as currently in effect,
and there can be no assurance that the models or portfolio constituents will remain the same in the future or that
an application of the current models in the future will produce similar results because the relevant market and
economic conditions that prevailed during the hypothetical performance period will not necessarily recur. The
term “maximum drawdown” as used on this site refers to means the maximum cumulative peak-to-valley
retracement on a month-end basis. Intra-month maximum drawdowns may be substantially higher, and future
maximum drawdowns may be higher still. There are numerous other factors related to the markets in general or
to the implementation of any specific trading program which cannot be fully accounted for in the preparation of
hypothetical performance results, all of which can adversely affect actual trading results.
Gary Antonacci
http://twitter.com/GaryAntonacci
gantonacci@optimalmomentum.net
Portfolio Management
Consultants
Website: http://optimalmomentum.com
Blog: http://dualmomentum.net

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