Sentences with phrase «dual momentum strategy»

However, I have been reading «Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk» by Gary Antonaccy and his Dual Momentum Strategy does not have any of the negatives you just mentioned.

As an added bonus, the spreadsheet also has four additional sheets using a dual momentum strategy with broker specific commission - free ETFs for TD Ameritrade, Charles Schwab, Fidelity, and Vanguard.

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

Does the dual momentum strategy still out - perform?

Does the dual momentum strategy hold up well?

A more robust, index - based test of the dual momentum strategy can be found on Optimal Momentum.

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

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

He then investigates the performance of this dual momentum strategy as a safe haven during S&P 500 crises defined in two ways: (1) drawdowns of at least 20 % peak to trough; or, (2) monthly declines of at least 5 %.

Not exact matches

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 -20Momentum 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 -20momentum asset class strategy aiming at returns above 10 % with drawdowns less than -20 % deep.

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

In their April 2016 paper entitled «Protective Asset Allocation (PAA): A Simple Momentum - Based Alternative for Term Deposits», Wouter Keller and Jan Willem Keuning examine a multi-class, dual - momentum portfolio allocation strategy with crash protection based on multi-market Momentum - Based Alternative for Term Deposits», Wouter Keller and Jan Willem Keuning examine a multi-class, dual - momentum portfolio allocation strategy with crash protection based on multi-market momentum portfolio allocation strategy with crash protection based on multi-market breadth.

He further tests a specific strategy that is long the S&P 500 Index (or SPY if using ETFs) when above its 10 - month SMA (SMA10) and in either the dual momentum safe haven portfolio or in a fixed duration (1 - year or 20 + years) when below its SMA10.

(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 Invmomentum strategies for U.S. - based investors in his recent book Dual Momentum InvMomentum Investing.)

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

Antonacci's book, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, also details Dual Momentum as a total portfolio sStrategy for Higher Returns with Lower Risk, also details Dual Momentum as a total portfolio strategystrategy.

The Dual ETF Momentum strategy was launched in 2013 and was inspired by Optimal Momentum.

Did some quick analysis; I think a lot of the 2013 underperformance for the Ivy10 and Dual ETF Momentum strategies can be explained by rebalance timing misfortune.

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

Antonacci is author of the award - winning book, «Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk» (McGraw - Hill, 2014).