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Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk
"The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it" "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of "Investing with the Trend"
"Dual Momentum Investing" details the author's own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk.
Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend.
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. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
"Dual Momentum Investing" details the author's own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk.
Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend.
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. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
256 pages, Kindle Edition
First published October 31, 2014
112 people are currently reading
831 people want to read
About the author
Gary Antonacci
3 books30 followersGary Antonacci has over 40 years experience as an investment professional focusing on underexploited investment opportunities. His innovative research on momentum investing was the first place winner in 2012 and the second place winner in 2011 of the Founders Awards for Advances in Active Investment Management given annually by the National Association of Active Investment Managers (NAAIM).
His research introduced the investment world to dual momentum, which combines relative strength price momentum with trend following absolute momentum.
He is widely recognized as a foremost authority on the practical applications of momentum investing.
Antonacci received his MBA degree from the Harvard Business School in 1978. Since then, he has concentrated on researching, developing, and applying innovative investment strategies that have their basis in academic research.
His research introduced the investment world to dual momentum, which combines relative strength price momentum with trend following absolute momentum.
He is widely recognized as a foremost authority on the practical applications of momentum investing.
Antonacci received his MBA degree from the Harvard Business School in 1978. Since then, he has concentrated on researching, developing, and applying innovative investment strategies that have their basis in academic research.
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Displaying 1 - 30 of 35 reviews
May 22, 2015
QOTD1
Simplicity is the ultimate sophistication.
- Leonardo da Vinci
One more... this funny little gem comes out of nowhere.
QOTD2
In the words of Richard Driehaus, "The stock market is like a woman. You observe her. You respond to her. And you respect her." That is not as easy as it sounds. Just ask my ex-wife.
- Gary Antonacci, Dual Momentum Investing
(rim shot, he he!)
This is a good investment book. I am a BIG momentum and relative strength guy. The most positive aspect of the book is its simplicity. The "dual" in Dual Momentum is:
1. relative momentum - picking the best performing security out of a group of them, and
2. absolute momentum - only investing in a security when it's return is positive over a period of time
The worst part of Dual Momentum is its simplicity. (see how clever I am there... the positive aspect is the same as the negative... clever, how's that working out for you?) This book is 200 pages of support for some really simple stuff. It was overdone, I think, in attempt to give the book an academic feel to it. This isn't necessary.
The basic algorithm is this: Antonacci uses returns from the past 12 months to make decisions. In the Global Equities Momentum algorithm, he chooses between a US security (like SPY) and a World ex-US security (like VEU). You run this algorithm each month. Step 1 - Pick the best performer of US vs. World over the last 12 months (relative momentum). Step 2 - If the winner in step 1 has a positive return over the last 12 months, then buy it. Otherwise, go to bonds/cash (absolute momentum). Done.
One weird/funny thing - The book is black and white and many of the charts with 5-6 gray lines are completely unreadable.
I'll wrap with the key concept, and the reason I love momentum algorithms. This approach allows you to invest while reducing the risk of a huge drawdown. Markets don't just fall off a cliff. First they underperform, and then they fall off a cliff. Or not. Either way, you're protected.
QOTD3
With dual momentum, we can comfortably focus more in equities, especially U.S. equities, and capture this higher-risk premium.
- Dual Momentum Investing
BTW, here's the website: www.optimalmomentum.com.
This is a good (investment) read.
yow, bill
December 11, 2014
An elegant survey of modern financial theories and a deep-dive into one 'simple' innovation (dual momentum) that appears to outperform established investment strategies. Succinct yet comprehensive, and a compelling read.
August 19, 2015
This is a very interesting strategy that's been tested over many decades. I wish I had noted that there was a glossary at the end. Some of the jargon threw me and I couldn't read the charts on my Kindle. But well worth reading. Now I've got to try it out!
September 1, 2015
Easy read, well documented and backed up with facts. Counter intuitive to 'buy low sell high' value investing. Will be referring back to this book regularly.
April 30, 2020
I've gotten interested and started using different trend following approaches in my investments. Trend following is a particular strategy that seems somewhat counterintuitive - you buy when things are going up and sell when they are going down.
However, it has one major thing to recommend it: it doesn't experience large losses. By selling when markets trend lower, trend approaches can miss out on gains, but protect investors from large losses.
This intuitively makes sense to me from a risk management perspective and the math works: a 50% loss requires a 100% gain to get back to break even. If you can "clip off" the left tail of the distribution (the big losses), there's less room to make it up and that should improve your long-term returns.
Dual Momentum Investing is a particular approach to trend following that uses two trend indicators (hence dual) to move in and out of the market.
The author does a great job explaining the overall investing landscape and evaluating the two main anomalies: value and momentum.
It then goes into detail about a specific momentum-based system that is relatively easy to implement using very liquid ETFs.
If you'd like to go deeper into trend following, particularly why using multiple look-back periods is important, here are some excellent pieces of 201 level content:
From Fragility Robustness: https://investresolve.com/blog/from-f...
Global Equity Momentum: https://investresolve.com/global-equi...
Tightening the Uncertain Payout of Trend-Following: https://blog.thinknewfound.com/2019/0...
Ensembles and Rebalancing: https://blog.thinknewfound.com/2020/0...
However, it has one major thing to recommend it: it doesn't experience large losses. By selling when markets trend lower, trend approaches can miss out on gains, but protect investors from large losses.
This intuitively makes sense to me from a risk management perspective and the math works: a 50% loss requires a 100% gain to get back to break even. If you can "clip off" the left tail of the distribution (the big losses), there's less room to make it up and that should improve your long-term returns.
Dual Momentum Investing is a particular approach to trend following that uses two trend indicators (hence dual) to move in and out of the market.
The author does a great job explaining the overall investing landscape and evaluating the two main anomalies: value and momentum.
It then goes into detail about a specific momentum-based system that is relatively easy to implement using very liquid ETFs.
If you'd like to go deeper into trend following, particularly why using multiple look-back periods is important, here are some excellent pieces of 201 level content:
From Fragility Robustness: https://investresolve.com/blog/from-f...
Global Equity Momentum: https://investresolve.com/global-equi...
Tightening the Uncertain Payout of Trend-Following: https://blog.thinknewfound.com/2019/0...
Ensembles and Rebalancing: https://blog.thinknewfound.com/2020/0...
April 29, 2020
Every investor is required to have a solid understanding of both value and momentum.
This book is a solid practical writing - both what momentum is and how to apply it in a portfolio (without going into complex statistical models).
Two thoughts:
- 2/3 of the book is a lengthy introduction into the topic of asset price momentum: origins, history, how it relates to modern portfolio theory etc. While interesting for some readers, many would be served well jumping right into the meat: chapters 7 and 8. In those chapters author presents dual momentum strategy and its results over several decades (of backtesting). Concise and interesting, reminds me of Meb Faber's writing.
- just like with any style, it all works well until it does not. Joel Greenblatt's strategy described in "Little book that beats the market" (2006) also had a stellar back-tested track record (value-based). As we know, value peaked in 2007 and is still badly lagging, 13 years (!) later. Caveat emptor: markets can easily have a decade or longer of volatile, trendless environment that would destroy momentum strategy results, too.
This book is a solid practical writing - both what momentum is and how to apply it in a portfolio (without going into complex statistical models).
Two thoughts:
- 2/3 of the book is a lengthy introduction into the topic of asset price momentum: origins, history, how it relates to modern portfolio theory etc. While interesting for some readers, many would be served well jumping right into the meat: chapters 7 and 8. In those chapters author presents dual momentum strategy and its results over several decades (of backtesting). Concise and interesting, reminds me of Meb Faber's writing.
- just like with any style, it all works well until it does not. Joel Greenblatt's strategy described in "Little book that beats the market" (2006) also had a stellar back-tested track record (value-based). As we know, value peaked in 2007 and is still badly lagging, 13 years (!) later. Caveat emptor: markets can easily have a decade or longer of volatile, trendless environment that would destroy momentum strategy results, too.
February 17, 2018
The first part of the book was a great recap of all the major discoveries in the field of finance and investing. The second part is the actual strategy to follow.
Since I read a couple of other books on momentum, the strategy in its core looked quite similar to others. Each author that I read had his own way of calculating relative momentum and having a filter criteria which some defined as a Moving Average or in this case absolute momentum. Despite the different jargon they are actually the same.
Overall a good read. The fact that I finished it despite reading two other books on momentum investing means that the author kept me entertained.
Since I read a couple of other books on momentum, the strategy in its core looked quite similar to others. Each author that I read had his own way of calculating relative momentum and having a filter criteria which some defined as a Moving Average or in this case absolute momentum. Despite the different jargon they are actually the same.
Overall a good read. The fact that I finished it despite reading two other books on momentum investing means that the author kept me entertained.
September 18, 2020
There is plenty of research including references for momentum investing. A very good introduction for someone who wants to build an investment strategy.
This dual momentum investing is a simple strategy but very solid in implementation.
This dual momentum investing is a simple strategy but very solid in implementation.
August 21, 2018
This is not a text on stock picking strategies as I mistakenly assumed; it’s a book on asset allocation using momentum strategies. Gary Antonacci with a background in as diverse areas as the US Military, Harvard Business School and touring as a comedy magician, is a pioneer in developing derivate-based investment strategies. Here he’s written a book aiming to take the academic underpinnings of momentum strategies and show how these can be profited from. The proposed strategy called Global Equities Momentum (GEM) uses a combination of relative momentum to decide where to invest within equities and absolute momentum to decide when to be in equities in the first place.
The book could broadly be divided into 3 parts. The first few chapters are a tour of the academic theory of efficient markets, of behavioural finance and of momentum investing but also of the history of momentum practitioners. The crude summary is that EMT is wrong and momentum investing works. The latter is thanks to behavioural factors. The reader is served a veritable who’s who of financial academia and momentum investing and despite that in my opinion it’s a bit over the top to refer to 217 academic papers and books on the 141 pages of Dual Momentum Investing, the text is still really enjoyable. However, if the reader hasn’t a complete overview of academic research it is hard to control for the author’s potential selection bias in which academic papers are brought forward. To the best of my knowledge the picture that is painted is reasonably objective.
The next set of chapters gives background information to the GEM strategy. A number of alternative asset classes and investment strategies are examined. The general conclusion is that investors haven’t been able to generate alpha through them or that they haven’t shown much absolute returns over time or that something else is wrong with them. Although I sympathize with momentum investing I found this part a bit over- selling. Basically nothing works apart from momentum.
The last part of the book presents Antonacci’s model and discusses tweaks and alternatives. The model looks to the performance over the last 12 months and matches the best performer of US stocks and international stocks against US T-bills. If the best performing equity index has outperformed T-bills then the money goes into this equity index. If not, then money will be invested in bonds. The strategy is executed through liquid ETFs with low transaction costs.
In the author’s backtests the GEM strategy 1974 to 2013 gives a brilliant annual return of 17.4 percent, with a Sharpe ratio of 0.87 and a maximum drawdown of 22.7 percent. This is compared to a global equity index with 8.9 percent returns, 0.22 in Sharpe ratio and a maximum drawdown of 45.7 percent. As a side note, Warren Buffett’s Sharpe ratio during about the same period was 0.76.
The strategy is a rather unassuming yet efficient combination of equity universe selection based on relative price momentum and a risk management strategy based on relative equity market momentum compared to T-bills. Since T-bills will return something close to zero, this latter could be said to be an absolute strategy. Since the stock indices lack a risk management strategy, the best relative performance for GEM is in stock market crashes. The absolute momentum part is obviously an intellectual cousin to using 200-day moving averages and Antonacci shows that the strategies yield very similar results.
The free spirited character and anti-authoritarian streak of Antonacci come forward in a nice way in the text. At the same time the author is extremely learned. If something I would have liked to hear more about Antonacci’s own experiences in the markets to complement all the academic research.
I would say that the average investor would get much better investment returns by switching to the GEM strategy. However, if everybody did switch it would destabilize the financial markets - but this is clearly true of any investment strategy.
The book could broadly be divided into 3 parts. The first few chapters are a tour of the academic theory of efficient markets, of behavioural finance and of momentum investing but also of the history of momentum practitioners. The crude summary is that EMT is wrong and momentum investing works. The latter is thanks to behavioural factors. The reader is served a veritable who’s who of financial academia and momentum investing and despite that in my opinion it’s a bit over the top to refer to 217 academic papers and books on the 141 pages of Dual Momentum Investing, the text is still really enjoyable. However, if the reader hasn’t a complete overview of academic research it is hard to control for the author’s potential selection bias in which academic papers are brought forward. To the best of my knowledge the picture that is painted is reasonably objective.
The next set of chapters gives background information to the GEM strategy. A number of alternative asset classes and investment strategies are examined. The general conclusion is that investors haven’t been able to generate alpha through them or that they haven’t shown much absolute returns over time or that something else is wrong with them. Although I sympathize with momentum investing I found this part a bit over- selling. Basically nothing works apart from momentum.
The last part of the book presents Antonacci’s model and discusses tweaks and alternatives. The model looks to the performance over the last 12 months and matches the best performer of US stocks and international stocks against US T-bills. If the best performing equity index has outperformed T-bills then the money goes into this equity index. If not, then money will be invested in bonds. The strategy is executed through liquid ETFs with low transaction costs.
In the author’s backtests the GEM strategy 1974 to 2013 gives a brilliant annual return of 17.4 percent, with a Sharpe ratio of 0.87 and a maximum drawdown of 22.7 percent. This is compared to a global equity index with 8.9 percent returns, 0.22 in Sharpe ratio and a maximum drawdown of 45.7 percent. As a side note, Warren Buffett’s Sharpe ratio during about the same period was 0.76.
The strategy is a rather unassuming yet efficient combination of equity universe selection based on relative price momentum and a risk management strategy based on relative equity market momentum compared to T-bills. Since T-bills will return something close to zero, this latter could be said to be an absolute strategy. Since the stock indices lack a risk management strategy, the best relative performance for GEM is in stock market crashes. The absolute momentum part is obviously an intellectual cousin to using 200-day moving averages and Antonacci shows that the strategies yield very similar results.
The free spirited character and anti-authoritarian streak of Antonacci come forward in a nice way in the text. At the same time the author is extremely learned. If something I would have liked to hear more about Antonacci’s own experiences in the markets to complement all the academic research.
I would say that the average investor would get much better investment returns by switching to the GEM strategy. However, if everybody did switch it would destabilize the financial markets - but this is clearly true of any investment strategy.
November 14, 2017
To invest, one needs a strategy. A simple one is the three-fund-approach by the bogleheads on the related forum. A different kind of strategy is Dual Momentum by Gari Antonacci. In his book, Antonacci offers what he calls "a do-it-yourself" easy approach to investing based on his research going all the way back to turn of the previous century. Step by step, the book outlines ideas and methods to approaching two simple tools, relative and absolute momentum, which Gary combines in what he calls the Dual Momentum. The strategy is simple, the author has chosen two indexes, an U.S. and all-world except the U.S., and switches between them if they are above the value of the treasury bills depending on returns in the last twelve months. All the calculations are done once a month, and there is a minimum number of trades. Even though the concept is easy to grasp and the book is easy to read (save all the technical research), not many investors follow the suit allocating the strategy more into the niche rather than a general strategy. However, readers should decide for themselves.
Read
March 16, 2016The author presents an intriguing investment strategy which potentially offers advantages over the traditional 70/30 index fund approach. I 19m not sure there was really enough material for an entire book, but that 19s not why you buy a book like this anyway.
October 7, 2016
Great
The book is a home run. Loaded with facts, stats, history, comparisons, and interesting stories like the guy who supported the random walk theory of markets who gave his money to Buffett to trade. A must read for traders who need to be investing.
The book is a home run. Loaded with facts, stats, history, comparisons, and interesting stories like the guy who supported the random walk theory of markets who gave his money to Buffett to trade. A must read for traders who need to be investing.
January 4, 2015
The ideas and content are quite good, and the book is well researched and well argued. The only trouble is that the actual "how to" isn't laid out very well.
April 14, 2015
Great writing. Relatively short, to the point and with plenty of relevant data to back up the theory.
June 15, 2017
Pretty good book for a financial book. THe approach is interesting and there are a few web sites you can back test the approach and see if it works for you.
I liked the discussion of other investing options and approaches, and thought that was well done.
As usual though, the book is a bit of a tease - introduces the concept and gives a simple example to follow, and then the usual "at my firm we have a more complex model that we feel does better, etc etc etc". Then again I understand it is the author's business. I just would have liked a slightly more complex model / approach (more than one sector ) for my investing style.
That said, I found what I was looking for online and without this book I would not have found it.
Recommended, read it, keep what you like and discard the rest.
I liked the discussion of other investing options and approaches, and thought that was well done.
As usual though, the book is a bit of a tease - introduces the concept and gives a simple example to follow, and then the usual "at my firm we have a more complex model that we feel does better, etc etc etc". Then again I understand it is the author's business. I just would have liked a slightly more complex model / approach (more than one sector ) for my investing style.
That said, I found what I was looking for online and without this book I would not have found it.
Recommended, read it, keep what you like and discard the rest.
April 22, 2020
I came into this book being extremely skeptical of using any "price action" or technical analysis in a strategy, and this book convinced me I need to look more into momentum.
The book provides a unique look at absolute momentum and a absolute/relative momentum strategy (dual momentum) that appears quite promising.
I am skeptical of strategies that advertise all the advantages and limit discussion on the unique risks of a strategy. I would like to see more independent stress testing of this strategy in various market environments.
The book provides a unique look at absolute momentum and a absolute/relative momentum strategy (dual momentum) that appears quite promising.
I am skeptical of strategies that advertise all the advantages and limit discussion on the unique risks of a strategy. I would like to see more independent stress testing of this strategy in various market environments.
January 15, 2025
This book is an excellent introduction to momentum investing. Gary presents dual momentum with simplicity at the forefront, making it easy to understand and practical. The concise writing allows you to move through the book quickly while gaining a solid grasp of GEM. By the end, I had not only a strong understanding of GEM but also the foundational knowledge needed to explore other momentum research and develop my own variants as a practitioner. Highly recommend this as one of the top 5 investing books everyone should read.
June 7, 2020
Momentum strategy is a long term strategy, we are talking ten to twenty years. For me the effort to study this companies in depth; and I believe I would still not be sure I am doing it correctly, is not worth the increase in revenue. I may believe I am just in a down cycle and not find out I invested in the wrong company for ten to fifteen years. For me the cost to effort ratio, makes more sense to invest in a mutuel fund.
December 28, 2018
This is the first book I have read relating to Momentum investing world.
In the beginning of the book the author illustrated a Brief overview of the history where he pointing out how concept emerged. Although, the concept is totally contrarian to buy low and sell high. The strategy and concept is very interesting and relevant in the practical world.
Overall its a very good read.
In the beginning of the book the author illustrated a Brief overview of the history where he pointing out how concept emerged. Although, the concept is totally contrarian to buy low and sell high. The strategy and concept is very interesting and relevant in the practical world.
Overall its a very good read.
June 9, 2019
Seeing all those 5-star reviews, I was shy to give my opinion. But, here I am.
At first, I liked this book because it is thin.
Then, while reading it, I started to think: How come there are so many filler even in a thin book like this?
I don't know how to use the approach described in this book, if there was one.
Conclusion: I wasted my money.
p.s. I was reading Chinese version.
At first, I liked this book because it is thin.
Then, while reading it, I started to think: How come there are so many filler even in a thin book like this?
I don't know how to use the approach described in this book, if there was one.
Conclusion: I wasted my money.
p.s. I was reading Chinese version.
April 29, 2020
A solid body of work on how to invest profitably long-term based on the relative and the absolute momentum. A complete explanation of several investing strategies, including not just the momentum related, but also risk parity, managed futures, hedge funds etc.
January 17, 2019
Great information on investing for those who want to keep it simple and get good returns.
August 7, 2020
Great read
October 7, 2021
Very interesting approach for long term investment. Core idea is to diversify in changing strategies over time instead on different allocations
December 20, 2021
Great book on what seems like a solid momentum based trading strategy.
June 7, 2023
모멘텀 전략의 단순하면서도 견고한 효과를 데이터를 통해 보여주고, 그 원리를 인간의 인지적 편향에 근거해 설명해준다. 모멘텀 전략의 '현명한 투자자' 같다.
August 5, 2023
Good book and explain well the Deal Momentum strategy. For a non-investment expert as myself, reading a book requires side googling some terms and financial jargon
February 12, 2025
I tested this in Indian markets. Cycles have become shorter. Works well in shorter lookback periods
January 16, 2018
A detailed build up of the evidence for the out performance available from a momentum or trend -following approach. Essential reading for the buy-and-hold brigade.
June 3, 2016
This book presents some clear ideas on how to use momentum to minimize risk in investing however, it stops short of providing the practical details needed to really implement it. Much of the data he uses is based on indices and, as such, doesn't represent something one can actually invest in. While ETF's do cover those indices now, their history is relatively short.
Overall, I think it's worth reading but don't read too much in to it. This works best when using two or three ETF's that are not strongly correlated. It probably wouldn't perform well for a set of ETF's that are strongly correlated.
Still, it is interesting and relatively brief reading for anyone interested in ways to minimize risk while maintaining reasonable returns in a systematic but simple way.
Overall, I think it's worth reading but don't read too much in to it. This works best when using two or three ETF's that are not strongly correlated. It probably wouldn't perform well for a set of ETF's that are strongly correlated.
Still, it is interesting and relatively brief reading for anyone interested in ways to minimize risk while maintaining reasonable returns in a systematic but simple way.
Displaying 1 - 30 of 35 reviews