Investing is simple, but not easy, as Warren Buffett says. And yes — technically the investment process should be as simple as possible. But does it mean that an average investor should not even think about active investment strategies and entirely rely on a passive portfolio? Which strategy is best to follow? And will it work tomorrow?

In this interview, my guest, Jack Vogel from Alpha Architect, talks about many trading topics, including momentum and mean reversion market anomalies.

Continue reading →

Imagine that you spend a few minutes a month to manage your investment. All is rule-based, statistically significant, simple and logical. No place for discretionary decisions, no guessing, no gut feeling, no forecasting. And in the long-term, you are almost sure to beat all the actively managed investment funds on the market. Sounds like a scam? Well, everyone should verify everything, but once you do it in this case, you will find out that the name of the presented strategy in this episode, Global Equity Momentum, GEM, is truly a gem.

I am so much impressed by the research work done by Gary Antonacci, guest of this podcast episode. To me, it’s just amazing that he contributed more to the financial industry than so many university researchers out there. He’s a practitioner, rather than a man trying to create another great looking theory, which may seem elegant and appealing but is useless. Fisher Black said once that β€œThe theory is right. It just doesn’t work.” Gary proposed a straightforward yet very effective model based on anomaly which proved to be working for hundreds of years — momentum.

Gary has over 40 years’ experience as an investment professional. After receiving his MBA degree from the Harvard Business School he concentrated on researching and developing innovative investment strategies that have their basis in academic research.

Gary’s innovative research on momentum investing was the first-place winner in 2012 and the second-place winner in 2011 of the prestigious Wagner Awards for Advances in Active Investment Management given annually by the National Association of Active Investment Managers.
Continue reading →

Linda began her professional trading career in 1981 as a market maker in options. She became a registered Commodity Trading Advisor in 1992. She worked as a principal trader for several funds. In 2002 she started her own hedge fund, which was ranked 17th out of 4500 for best 5-year performance by BarclaysHedge.

Jack Schwager recognised her great talent in his famous Market Wizards series. Since 2015 Linda continues to trade daily for her own account. In the world of professional trading and money management, Linda stands out from the crowd for three factors: performance, longevity and consistency.

Most frequently when talking about trading, we focus on its positive aspects. Linda takes a different perspective in this interview sharing with us market lessons while highlighting the tension between luck, risk, and passion.

To me, it’s an extraordinary interview with an extraordinary person summarising her great book titled “Trading Sardines“. It is indeed a 21st-century version of “Reminiscences of a Stock Operator“! Linda although being so successful as a professional trader, openly admits how repeatedly got her ass kicked by the markets.

It sounds so attractive when we can mention how you feel making one million in one single day. Linda, however, puts an accent on being on the wrong side of outliers so many times that it is well beyond the random. Rare events are happening more often than we think, especially if you are on the markets so long as Linda.

Continue reading →