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Research Papers

Research papers by Gary Antonacci on momentum and trend-following investing

Risk Premia Harvesting Through Dual Momentum

First place winning paper of the 2012 NAAIM Founders Award for Advances in Active Investment Management.

DUAL MOMENTUM

Absolute Momentum

A simple rules-based strategy and universal trend-following overlay demonstrating the versatility of absolute momentum.

ABSOLUTE MOMENTUM

A Century of Profitable Industry Trends

A simple channel-based trend-following strategy applied to 100 years of industry data and 20 years of ETF industry data.

TREND FOLLOWING
These papers illustrate momentum principles and are not meant to represent investable portfolios. 
See the Performance page of this website for information on our publicly available investment models.

MOMENTUM

Momentum means persistence in performance. Additional periods of superior performance tend to follow initial periods of superior performance. But it is more than that. Momentum is also a systematic rules-based approach for entering and exiting the markets based on specific, proven criteria.
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