Python implementation of Gary Antonacci's GEM ('Global Equities Momentum') dual momentum strategy as described in his best sellerhttps://www.amazon.com/Dual-Momentum-Investing-Innovative-Strategy/dp/0071849440 and his blog: www.optimalmomentum.com.
May 21, 2015 Dual Momentum captured the interest of many investors since Gary Antonacci published his book by the same title. To understand the concepts behind the Dual Momentum investing. The logic behind these publicly available models and how to determine their allocations is fully disclosed in our book, Dual Momentum Investing. READ MORE Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk.
The strategy first uses absolute returns to compare 12 month S&P500 returns against cash (1-3 month treasury bill) returns. If cash performed better the strategy invests in intermediate term bonds (Barclay's AGG). If the S&P500 performed better the strategy employs relative momentum to invest in the better of S&P500 and International stocks. Decisions are made on the last trading day of each month.
gem.py: A monthly momentum indicator, with a variety of lookbacks using ETF data from yahoo (VEU,IVV,BIL,AGG) and index data from MSCI as comparison/validation (Yahoo Finance has been unreliable lately, changing their API and often not giving proper adjusted close data).
gem_backtest.py: Python backtest code using historic data going back to either 1970 for dual momentum or 1926 for absolute momentum (no historic international data available pre-1970). Historic data is available in the 2 .csv files in this project. The code runs through several scenarios, illustrating the almost to-good-to-be-true performance of GEM against more traditional strategies such as 60%/40% stocks/bonds or even 100% stock investments.
Subjects
The investing strategy that famously generates higher returns with substantially reduced risk—presented by the investor who invented it
'A treasure of well researched momentum-driven investing processes.'Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend
Dual Momentum Investing details the author's own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices—a formula proven to dramatically increase profits while lowering risk.
Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses—and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend.
Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
Publication Details
- Publisher:
- McGraw-Hill Education
- Imprint:
- McGraw-Hill
- Edition:
- 1
- Publication Date:
- 2014
Format
![Dual Dual](https://image.isu.pub/190420075309-d53d12c203734b1e6201b6890524bb78/jpg/page_1_thumb_large.jpg)
- Kindle Book
- OverDrive Read
- Adobe PDF eBook 4.3 MB
- Adobe EPUB eBook 7.6 MB
Gary Antonacci (Author)
Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset alloca...