Momentum Applications
Tail Risk Mitigation
Tail risk is the probability that an asset performs far below or far above its average past performance. Tail risk is an investor’s worst enemy.
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Presenting research and applications of dual momentum investing as discovered
by its founder Gary Antonacci, author of the book Dual Momentum Investing
Gary Antonacci, founder of Optimal Momentum has over 45 years of experience as an investment professional focusing on underexploited investment opportunities.
After receiving his MBA degree from the Harvard Business School, Gary concentrated on researching and developing innovative investment strategies that have their basis in academic research.
His research on momentum investing was the first-place winner in 2012 and the second-place winner in 2011 of the Founders Award for Advances in Active Investment Management given annually by the National Association of Active Investment Managers (NAAIM).
Gary introduced the world to dual momentum which combines relative strength price momentum with trend following absolute momentum.
Momentum is based on the Newtonian notion that a body in motion tends to stay in motion. The classical economist David Ricardo translated momentum into investment terms with the oft quoted phrase, “Cut your losses; let your profits run on.”
Momentum dominated the 1923 book, Reminiscences of a Stock Operator, about the legendary trader Jesse Livermore. Momentum-based velocity ratings were used in the 1920’s by HM Gartley and published in 1932 by Robert Rhea.
Tail risk is the probability that an asset performs far below or far above its average past performance. Tail risk is an investor’s worst enemy.
Introduction My research has led me to higher expected returns and increased diversification of my existing models through the addition of a new model using
In my last blog post, “A Sensible Approach to Bitcoin”, I reviewed the pros and cons of bitcoin. For reasons given in that article, I