Bravo! You deserve that reward! All good but i would also see its greatness in daily trading as well, need to work on that. Because of Dual M. is an intermediate phenomena , based on current findings it doesn't work with the daily trading. Thanks for the presentation :) I liked it.
If you run the dual momentum simulator on Portfolio Visualizer, you will find that Buy and Hold the S&P has outperformed this strategy every year since 2015. Also you would have taken the same drawdown from the covid crash in 2020.
This is what should happen - and indeed happens - to most easily tradable mispricing-based (i.e., irrational, behavioral, non-risk-based, what ever you want to call them) anomalies when they become public; they get priced away. Gary published his book about dual momentum in late 2014. (And in fact, whether an anomaly disappears after becoming public knowledge is a solid measure of whether the anomaly carries hidden risk or costs that keep prices irreversibly inefficient, or whether it's due to investors' irrational behavior.)
I did a backtest in PV as well from 2001 till today......i manage to beat buy and hold SPY total return by almost double at half the max drawdown of buying and holding SPY.....just need to do some changes on the ETF selection as well as look back period. By looking at just 12 months back is too slow to capture market reversal
36:00 : why show absolute momentum in the bull market chart then relative momentum in the bear market chart? Doesn't that make dual momentum appear better than it actually is?
Indeed, but the low/negative correlation is not merely an empirical finding. There's a solid theoretical basis for that, too, which isn't going to change anytime soon.
@@dudea3378 What? Go ahead and read my comment again. The theoretical underpinnings have not changed. Of course the correlations fluctuate in the short run in the real world, but in the long run, on average, the correlation is bound to be in the low-negative territory.
Question , you said in dual momentum there is 1.3 average trades a year , but with monthly rebalance ? Should it be 12 trades a year as per the monthly rebalance, pls clarify
I remember finishing the presenter's book awhile back. I found it interesting but it seemed incredible hard to apply from a practical sense. Maybe things have changed?
@@desoztopdesoz2456 Hi desoz, can you advise on some of these people who use it? I am finding a hard time implementing the strategy specifically when it comes to calculating the Rolling 12 Months Returns. Do you use log-returns or discrete returns?
@@thestyler124 You can make it complicated if you want, but usually, and this is what antonuuci does he just compares the values, for example the price today compared to the price 12 months ago.... it its greater, then its buy, if its less, then do not buy
@@desoztopdesoz2456 I don't quite understand, how can we compare the returns for SPY vs ACWI ex US if we only look at prices? imagine SPY is at 11 and was at 10 and the ACWI ex US is at 25 and was at 19. you cannot compare 11 vs 25 right? Sorry for the silly question
Actually it would have. It wouldn't have flipped you into short, and then forced you to buy back equities at a higher price. In the fullness of time thats the correct decision in retrospect
From time to time I return here, this presentation is very very good!
Thank you Gary Antonacci!
just listen to this presentation and save the 40 bucks on the book as this is essentially everything in the book. You're welcome!
But he didn't share how to build dual momentum. Do you know where to look for it?
Bravo! You deserve that reward! All good but i would also see its greatness in daily trading as well, need to work on that. Because of Dual M. is an intermediate phenomena , based on current findings it doesn't work with the daily trading.
Thanks for the presentation :) I liked it.
Great conference !
Great content thanks.
thank you
Can you provide the link to the 100 momentum stocks at alpha architect? It is not clear where this is published.
If you run the dual momentum simulator on Portfolio Visualizer, you will find that Buy and Hold the S&P has outperformed this strategy every year since 2015. Also you would have taken the same drawdown from the covid crash in 2020.
This is what should happen - and indeed happens - to most easily tradable mispricing-based (i.e., irrational, behavioral, non-risk-based, what ever you want to call them) anomalies when they become public; they get priced away. Gary published his book about dual momentum in late 2014. (And in fact, whether an anomaly disappears after becoming public knowledge is a solid measure of whether the anomaly carries hidden risk or costs that keep prices irreversibly inefficient, or whether it's due to investors' irrational behavior.)
I did a backtest in PV as well from 2001 till today......i manage to beat buy and hold SPY total return by almost double at half the max drawdown of buying and holding SPY.....just need to do some changes on the ETF selection as well as look back period. By looking at just 12 months back is too slow to capture market reversal
36:00 : why show absolute momentum in the bull market chart then relative momentum in the bear market chart? Doesn't that make dual momentum appear better than it actually is?
Effective mid point spread is not symmetric random variables so .....!?
markov chains can achieve this "dual momentum" if its turned into a long/short approach
How many times in a year has to be sold on average? I ask this for tax purposes.
This absolute momentum strategy between equity index and bond index should remain only if strong negative correlation between equity and bond exists.
Indeed, but the low/negative correlation is not merely an empirical finding. There's a solid theoretical basis for that, too, which isn't going to change anytime soon.
@@hEmZoRz This aged like milk. Welcome to 2022.
@@dudea3378 What? Go ahead and read my comment again. The theoretical underpinnings have not changed. Of course the correlations fluctuate in the short run in the real world, but in the long run, on average, the correlation is bound to be in the low-negative territory.
Question , you said in dual momentum there is 1.3 average trades a year , but with monthly rebalance ? Should it be 12 trades a year as per the monthly rebalance, pls clarify
Comparing monthly to catch when the trend turns. The trends dont turn that fast. Elections, market cycle, ect.....
you check monthly, but its not going to change every month
I remember finishing the presenter's book awhile back. I found it interesting but it seemed incredible hard to apply from a practical sense. Maybe things have changed?
not hard at all, there are people who have free updates every month about what to buy and sell, or its easy to do it on a spreadsheet for yourself,
@@desoztopdesoz2456 Hi desoz, can you advise on some of these people who use it? I am finding a hard time implementing the strategy specifically when it comes to calculating the Rolling 12 Months Returns. Do you use log-returns or discrete returns?
@@thestyler124 You can make it complicated if you want, but usually, and this is what antonuuci does he just compares the values, for example the price today compared to the price 12 months ago.... it its greater, then its buy, if its less, then do not buy
@@desoztopdesoz2456 I don't quite understand, how can we compare the returns for SPY vs ACWI ex US if we only look at prices? imagine SPY is at 11 and was at 10 and the ACWI ex US is at 25 and was at 19. you cannot compare 11 vs 25 right? Sorry for the silly question
@@thestyler124 which ever one has the greater percentage gain,
This would not have saved you in the correction of 2020
Actually it would have. It wouldn't have flipped you into short, and then forced you to buy back equities at a higher price. In the fullness of time thats the correct decision in retrospect
“People can be irrational. That’s for all people not just my ex wife”