Dual Momentum Gary Antonacci

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Tomaso
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Dual Momentum Gary Antonacci

Post by Tomaso » Mon Mar 30, 2015 12:32 pm

Have any of you tested the Global Asset Allocation Strategies suggested by Meb Faber and Gary Antonacci ?
AFJ Garner has posted negative views on them but I was wondering if any of you had tested them and had some TB code to share or suggestions on how to build it.
Specifically the one suggested by Gary Antonacci:
The idea is to create 4/5 groups each representing an asset class. Each group would have 2/3 instruments in them.
Within each group /asset class the instruments are ranked based on their 12m absolute momentum, the strongest is chosen to then represent the asset class in the portfolio.
Each asset class is equal weighted.
If the strongest instrument within each asset class does not have a positive 12m absolute momentum its share of the portfolio allocation goes to cash / treasuries.

I attach the paper

sluggo
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Re: Dual Momentum Gary Antonacci

Post by sluggo » Mon Mar 30, 2015 8:24 pm

If this post does not yield the desired results, please permit me to suggest that trying again with a more explicit title might help.

WANT SOMEBODY TO CODE AN IDEA IN BLOX FOR ME

gets the point across nicely, and presents several opportunities for you to mention compensation. If you are willing to pay for another person's effort.

AFJ Garner
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Re: Dual Momentum Gary Antonacci

Post by AFJ Garner » Tue Mar 31, 2015 5:01 am

I have no problem with Antonacci's use of momentum. But I don't think his published tests are anything like comprehensive or convincing relying as they do on a very narrow set of indices.

Doubtless somewhere or other on this and other forums I have droned on about random portfolios of instruments and that is more the sort of thorough approach which could command respect and credence.

I rarely post these days probably for the same reasons as Sluggo. It is all give and no take - people always want something for nothing and it becomes dull and tedious. I'm a "for profit" organisation not a charity and it has become dull after all these years to receive constant requests for hard earned expertise by those who offer nothing in return.

I had an approach yesterday in just such terms. My response was: ANYBODY, given a little intelligence and effort can build a momentum based system for any portfolio. What they can't do is sell it or raise AUM.

My systems are fully disclosed (to clients) and not black box. Anyone can have them to raise assets on. Go and look at a few smart beta indices - there is no secret to the approach.

So anyone who wants my help has to offer something in return. They can have any of my damn systems they want but on a JV basis where they go and raise AUM and give me a cut of the profits.

Fair enough?

Tomaso
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Re: Dual Momentum Gary Antonacci

Post by Tomaso » Tue Mar 31, 2015 10:34 am

Thank you for your replies, I may have unwantingly touched a sore point here.

It is not my intention to ask for someone to code for me. I was rather looking for some suggestions such as "use a portfolio manager blox with grouprank functions" or something of that order. I have been trying to code it for a while and am struggling with the group ranking part using just the manual

It was my understanding that this forum is for exchange of ideas and code, given also the existence of the blox marketplace. It was also my understanding that more experienced users of TB may be happy to help less experienced ones.

I am not a professional and of course there may be professionals in this forum such as you guys who may not want to contribute if not compensated monetarily which is totally understandable, absolutely fair enough. Why not just not reply to the post then, or send a PM with an offer to sell the code if one of you has it ?

Maybe some other non professionals like me have solved the problem and are happy to share, maybe not. I would have no problem doing so. In this spirit the only time I felt I had solved a problem that may have been of interest I have posted it.

I am wondering why one would want to dissuade people from asking for help in this forum, isn't it part of its function ? No one is obliged to respond

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Re: Dual Momentum Gary Antonacci

Post by AFJ Garner » Tue Mar 31, 2015 11:11 am

Tomaso wrote:Thank you for your replies, I may have unwantingly touched a sore point here.
No offence was intended and sorry to have given the wrong impression. I guess I have been greatly put off forums having worked very hard on one with a partner who, I felt, let me down badly.

These days I spend my time talking to clients. It is rather more remunerative.

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Re: Dual Momentum Gary Antonacci

Post by Tim Arnold » Tue Mar 31, 2015 12:56 pm

I am wondering why one would want to dissuade people from asking for help in this forum, isn't it part of its function ? No one is obliged to respond.
Yes I agree with you, I don't see the advantage, purpose, or greater benefit of the types of responses you have seen in this posting. The forum was designed as a place to encourage imagination and curiosity, and all responses should be positive contributions. I would encourage folks to ask questions and ask for help at any level and at any time. There is no such thing as a bad question and there is no harm in asking for help. There are many folks who are more than happy to help and who continue to derive enjoyment from the our community and sharing ideas.

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Re: Dual Momentum Gary Antonacci

Post by Tomaso » Tue Mar 31, 2015 1:52 pm

Thank you Tim and no offence taken AFJ, you have contributed plenty of good stuff to this forum so thank you too.

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Re: Dual Momentum Gary Antonacci

Post by dobbs123 » Mon Jun 01, 2015 8:53 am

Tomaso - Antonacci says the portfolio in his paper is meant to show how dual momentum works, but a better approach for investing is the strategy outlined in his book, Dual Momentum Investing. He gives instructions for implementing it with PerfCharts. I back tested it using Excel and got similar results to him. As for AJG's point about a limited portfolio, Antonacci's book shows that stocks are where you get the best return historically, so should be your core holding. However, there is an abundance of academic research showing that momentum works very well indeed with and across different assets, including stocks, gilts, commodities, currencies, equity indices, etc.

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Re: Dual Momentum Gary Antonacci

Post by Tomaso » Tue Jun 02, 2015 7:26 am

Thank you. I tested the simple model in the book with TB. It does give very few trades so I take AFJ point plus the test is in period where both equities and bonds have gone up so the long only aspect of his thesis worked well.

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Re: Dual Momentum Gary Antonacci

Post by AFJ Garner » Tue Jun 02, 2015 9:22 am

Tomaso wrote:It does give very few trades so I take AFJ point plus the test is in period where both equities and bonds have gone up so the long only aspect of his thesis worked well.
Exactly!

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Re: Dual Momentum Gary Antonacci

Post by dobbs123 » Wed Jul 01, 2015 8:55 am

The test period was over 40 years which included both bull and bear markets. Of course, stocks and bonds markets went up over that amount of time. It would be hard to find a 40 yer period in which they didn't. The model Antonacci presents in his book is in bonds only 30% of the time, and bonds only account for 20% of profits per his website FAQ. One can find successful back tests of momentum now going back over 200 years. See his blog for references.

Tomaso
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Re: Dual Momentum Gary Antonacci

Post by Tomaso » Wed Jul 01, 2015 12:42 pm

I don't disagree with you. The backtest gives good results and momentum anomaly is well known. What I am saying is that we have been in a market regime over the sample period where:

1. Bonds have always gone up, so everytime it would switch out of equities it would have had a high chance of still making money.
2. Equities have mostly gone up also because bonds have gone up (rates gone down)

How will model behave if the market regime is different such as rates stay low or go up so bonds stay flat or go down on average. That will remove the bond option as a money maker, it may make them a money looser too so the +20% may become -20 %. In that environment maybe equities, when they trend upwards, will not go up as fast as they have with declining interest rates. I don't know and the whole point of TF is not to forecast but it does make me wonder.

As far as the slowness of the system. It does generate few trades so it may exhibit less robustness than systems that generate more trades.

On the other hand if you use the 90% degrees of freedom criteria explained in Robert Pardo's Book The Evaluation and Optimization of Trading Strategies it does look like it may be statistically robust:
12 datapoints used for the absolute and rel momentum rules + 12 datapoints to prime the system + 2 points for the parameters in the rules (absolute and relative momentum) =26 degrees of freedom used over 300 (25 years x 12 datapoints per year). This leaves 91% degrees of freedom which is just over the 90% limit Pardo suggests.

Is this a good criteria ? I don't know not a statistician. Do people actually look at it to judge the robustness of a test ?

Any ideas ?

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Re: Dual Momentum Gary Antonacci

Post by Tomaso » Wed Jul 01, 2015 4:38 pm

Correction its 40 Years so 95% remaining degrees of freedom.

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Re: Dual Momentum Gary Antonacci

Post by sinkpretend » Fri Jul 17, 2015 9:27 am

What about Momentum losses? You have to compare 1 company's share price to movement of share price of other companies, How to efficiently do that.

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