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cover of episode Episode 51: Exploring Dual Momentum with Gary Antonacci

Episode 51: Exploring Dual Momentum with Gary Antonacci

2025/5/19
logo of podcast Fill The Gap: The Official Podcast of the CMT Association

Fill The Gap: The Official Podcast of the CMT Association

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D
Dave Lundgren
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Gary Antonacci
T
Tyler Wood
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Dave Lundgren: 我认为《Dual Momentum》是一本基础性的书,它阐明了动量概念的力量。根据经验调整策略时,需要确保这些调整仍然基于统计显著性和适当的建模。我对 Gary Antonacci 在过去 10-15 年里所做的工作感到非常兴奋,他的工作既创新又简单。与趋势跟踪者合作的经历非常独特,与他们交流、跟踪他们的表现并向他们学习是一次了不起的经历。 Tyler Wood: 2020 年的疫情崩溃是一个警醒时刻,它揭示了完全依赖每月再平衡流程可能导致剧烈的震荡。Gary Antonacci 正在考虑策略多样化,可以并行运行更短时间框架的策略,甚至可以利用波动率捕获进行均值回归,以对抗趋势跟踪策略。Gary Antonacci 自那以后对动量有了更深入的理解,就像完成了动量领域的博士课程。他专注于未被充分利用的投资机会,现在专注于构建多样化的多模型投资组合,利用双动量和趋势。 Gary Antonacci: 我在 1974 年开始在美林担任经纪人,从 Mansfield 股票图表中了解了技术分析的秘密。我努力学习所有关于技术分析的知识,了解到市场可能在错误的方向上持续很长时间。我将一些优秀的交易员组合成对冲基金,并负责投资组合优化。我一直在关注所有的研究,尤其是在学术方面。大约 10 到 15 年前,我偶然发现了动量研究。Cowles 和 Jones 在 1937 年首次撰写了关于动量的文章,但直到 90 年代初 Jagadish 和 Tippmann 进行了一项学术研究后才被重视。过去表现优异的股票在未来往往会继续表现优异。动量几乎在所有地方、所有事物上都有效。此后,各种形式的朋友跟踪都得到了学术验证。我与瑞士的一位研究员一起证明了 Keltner 和 Donchian 通道的使用在 100 年的行业数据和行业 ETF 中,比买入并持有策略具有更大的优势,并大大降低了下行风险。Kaminsky 和 Grazerman 的研究表明,绝对动量可以追溯到每个市场的开始,包括股票、债券和日本大米市场,并且它优于买入并持有策略,并降低了下行风险。已经有类似的研究验证了移动平均线和道氏理论。我的贡献是将相对动量和绝对动量结合在一起。我在书中有一个简单的模型,旨在防止投资者遭受可怕的下跌,并使他们在长期内领先。有两类动量:相对强度和绝对动量。

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Momentum remains one of the most persistent and powerful anomalies in financial markets. In this engaging fireside chat, recorded live at the West Coast Regional Summit in San Francisco, we sit down with Gary Antonacci, the renowned author of Dual Momentum Investing, to explore the evolution, application, and enduring effectiveness of momentum-based investment strategies.Gary will share his insights on the science behind Dual Momentum, how it enhances traditional trend-following approaches, and the ways investors can apply these principles to achieve superior risk-adjusted returns. Whether you’re a practitioner of systematic investing, a trend-following enthusiast, or simply curious about momentum’s role in portfolio management, this conversation will offer valuable perspectives from one of the field’s leading experts.

Fill the Gap, hosted by David Lundgren, CMT, CFA and Tyler Wood, CMT brings veteran market analysts and money managers onto a monthly podcast.

For complete show notes of every episode, visit: https://cmtassociation.org/development/podcasts/ Give us a shout:@dlundgren3333 or https://www.linkedin.com/in/david-lundgren-cmt-cfa-63b73b/@_TBone_Pickens or https://www.linkedin.com/in/tyler-wood-cmt-b8b0902/@CMTAssociation orhttps://www.linkedin.com/company/cmtassociationCMT Association is the global credentialing authority committed to advancing the discipline of technical analysis in the financial services industry. We serve members in over 137 countries. Our mission is to elevate investors mastery and skill in mitigating market risk and maximizing return in capital markets through a rigorous credentialing process, professional ethics, and continuous education. CMT Association formed in the late 1960s with headquarters in lower Manhattan, NY and Mumbai, India.Learn more at: www.cmtassociation.org