Sentences with phrase «dual momentum»

Last week we explored a simple dual momentum strategy using three portfolios consisting of three mutual funds.

Nearly all my liquid net worth is invested using proprietary dual momentum models.

Dual momentum investing may very well show the same disconnect.

Does adding crash protection based on global market breadth enhance the reliability of dual momentum?

Market timing results from 1998 to 2018 are based on dual momentum model holding the best performing asset.

It is unlikely that most people will become dual momentum believers.

I developed dual momentum specifically for my personal investing.

Dual momentum works best when volatility is not too high.

Their biases may keep them from ever adopting dual momentum.

In particular, there is a model known as Dual Momentum Investing which offers better returns while controlling the risk.

(For more on this, check out Gary Antonacci's study of monthly momentum strategies for U.S. - based investors in his recent book Dual Momentum Investing.)

They found that dual momentum applied to long - short stock portfolios generated striking returns of 1.88 % per month.

My book's GEM model is designed as a do - it - yourself approach using dual momentum focused on stock indices.

That is what dual momentum is all about.

The strategy was inspired in part by Gary Antonacci's» Risk Premia Harvesting Through Dual Momentum» paper available on Optimal Momentum.

A very popular topic recently is Dual Momentum which has the concept of when an ETF does not pass some filter, instead of investing in that ETF you invest in some alternative ETF.

This is because dual momentum reduces bear market drawdowns.

To test full dual momentum versions of SACEMS equally weighted (EW) Top 2 and EW Top 3 SACEMS portfolios, we add two more copies of Cash to the universe, thereby preventing both of them from holding assets with negative past returns.

One of the TAA strategies that I have often been asked about is Antonacci's Composite Dual Momentum (ACDM from now on).

I recently began using AllocateSmartly to test some of my favorite tactical strategies, including Dual Momentum.

My other dual momentum models like Global Balanced Momentum and Enhanced Global Equities Momentum are proprietary.

Additionally, there re-entry lags when a new bull market begins after dual momentum has taken you out of a prior bear market.

Will this adversely affect dual momentum returns?

Switching to bonds during stock market weakness as identified by dual momentum has historically done better than being short stock indices.

Explore dual momentum timing model combining relative momentum with an absolute momentum based trend - following filter:

We have a blog post called «Dual Momentum for Non-U.S. Investors» that discusses this in detail.

DMSR is no longer as attractive as broader - based dual momentum models like GEM.

D'Souza et al. looked at both forms of momentum individually, as well as dual momentum.

A model I run (adapted from Gary Antonacci's book Dual Momentum) compares 12 - month momentum on domestic and foreign stocks.

They found that dual momentum applied to long - short stock portfolios generated striking returns of 1.88 % per month.

But he wondered if the outperformance of dual momentum would disappear if he used dollar cost averaging (DCA) because he would not be able to buy cheaply during bear markets.

In both rising and falling currency environments, we have shown that all world investors can still use Dual Momentum to considerably outperform traditional fixed - allocation portfolios.

That is what dual momentum is all about.

Gary Antonacci's «Risk Premia Harvesting Through Dual Momentum» paper available on Optimal Momentum first piqued my interest in using absolute and relative momentum to invest in small groups of asset classes.

A nice review for Gary Antonacci's Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk.

Our dual momentum models, which are most of the time in stock indices, do better by rebalancing on the first or second trading day of the month.

For more on momentum investing, please see our FAQ page, the rest of this website, and our Dual Momentum blog.

As you can see, dual momentum has done a much better job in both reducing tail risk and improving risk - adjusted returns.

Does a dual momentum selection / weighting approach applied to the U.S. Treasuries term structure identify a safe haven superior to any one duration?

In their July 2017 paper entitled «Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less», Wouter Keller and Jan Keuning introduce VAA as a dual momentum asset class strategy aiming at returns above 10 % with drawdowns less than -20 % deep.

As an added bonus, the spreadsheet also has four additional sheets using a dual momentum strategy with broker specific commission - free ETFs.

Also, the dual momentum strategy has historically had relatively low turnover.

Does the dual momentum strategy hold up well?

Does the dual momentum strategy still out - perform?

In each case, the dual momentum strategy still out - performs on an absolute and risk - adjusted basis its equally - weighted portfolio and the benchmarks.