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Gary Antonacci
Gary Antonacci is a financial researcher and consultant
Gary Antonacci is a financial researcher and consultant
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Momentum Combinations
One can use dual momentum in many ways (for a description of what comprises dual momentum, please see our earlier post " Whatchamacallit .") In the Performance section of our website, we show three different applications of dual momentum. The first is our G...
Momentum Combinations
Momentum Combinations
dualmomentum.net

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Perils of Data Mining
From the time my book was published others have tried to improve upon the book’s Global Equity Momentum (GEM) model. There is nothing wrong with trying to improve on prior work. That is how society progresses. But such attempts can have data mining, overfit...
Perils of Data Mining
Perils of Data Mining
dualmomentum.net

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Momentum Solutions for Retirement
  by Matt Richardson, JD, PhD As the surge of boomer retirements continues, commentators have given new thought to what safe withdrawal rates are for retirement accounts.  The topic is especially significant given two additional factors. First, retirement b...

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The Evolution of Investing
I began my investment career in 1974. In 1976 I left a retail brokerage firm to join a premier investment bank where I had both retail and institutional clients. By that time I had a well-rounded knowledge of Wall Street. The 1970s was soon after the dark a...

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Common Misconceptions About Momentum
Momentum is one of the most researched topic in financial market literature. A search of the SSRN database on momentum will turn up around 1000 papers written over the past three years and 3000 papers in total. With so much information available, it should ...

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Factor Investing: Implementation Costs Really Do Matter
Progress in science comes when experiment contradicts theory. – Richard Feynman One of the tenets of modern portfolio theory is that you cannot beat the market after transaction costs. Yet academic researchers have shown that momentum consistently beats the...

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Book Review: Standard Deviations, Flawed Assumptions, Tortured Data and Other Ways to Lie with Statistics
Years ago, when was asked to recommend investment books, I often suggested some about the psychological issues influencing investor behavior. They focused on investor fear and greed to show “what fools these mortals be.” Here are some examples: Devil Take t...

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My New Research Paper on Absolute Momentum
My newest research paper, " Absolute Momentum: A Simple Rule- Based Strategy and Universal Trend-Following Overlay, " is now available. In it I
show how to use absolute momentum to add value to single asset investments or a
60-40 portfolio by reducing expec...

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Trend Following Research
There have been hundreds of research papers on relative strength momentum since the seminal work by Jegadeesh and Titman in 1993. [1] Relative momentum has been shown to work in and out-of-sample within and across most asset classes. Theoretical results hav...
Trend Following Research
Trend Following Research
dualmomentum.net

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Real Time Factor Performance
According to S&P DJ Indices, 92% of all actively managed
stock funds failed to beat their benchmarks over the past 15 years. This
should come as no surprise. Similar results were published more than 20 years ago.
This information has caused a move away from...
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