Momentum Follow-Up

I received several good questions on the Dual ETF Momentum tool.

It is important to reiterate that the spreadsheet is not meant as an “optimal” portfolio or investment advice. It is a live, in-sample replication of the dual portfolios and strategy featured in Gary Antonacci’s academic paper.

He has been kind enough to follow my posts on the dual momentum strategy and he noted “as I’ve mentioned on both my website and blog, that I don’t think what I have in my paper is an ideal portfolio. I used those particular assets to support the points I was making in my paper. The BMI and GBMI indices represent a more appropriate investing portfolio, in my opinion. They also contain proprietary enhancements to the methodology.”

The BMI and GBMI are proprietary indices and licensed to professionals. However, Anotonacci has a new paper and book coming out later this year. The strategies featured in both will be geared towards the general public and I will be sure to post a follow-up when they are available!

 

2 thoughts on “Momentum Follow-Up”

  1. Just wanted to thank you for your work on the dual momentum strategy. After reading every paper I can find, it just makes sense. I am using my own adaptation of the strategy for myself now, and am interested in what Gary has to say in his book.

    I started out learning about diversified managed futures trading, but you need a very large account to do that correctly. Using ETFs and a momentum strategy is something any size account can do, while still sticking with trend following principles. It is also good for people with day jobs, as they don’t need to check the market every day. Putting in a trade once a month (if that) is doable by most folks.

  2. I would be surprised if anything can really be termed ‘optimal’ without the benefit of hindsight? Isn’t optimal a moving target?

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