Almost two years ago, I hosted Gary Antonacci who specializes in investing using momentum anomalies. That episode was very popular among listeners. This was partly due to the fact that such an investment model is straightforward and not very time-consuming.
Today I am pleased to host Gary again, but we are talking about an investment approach that is at the opposite extreme of the momentum anomaly. While momentum takes advantage of long-term trends, today Gary will tell us how he takes advantage of short-term, counter-trend anomalies when the market is extremely overbought or oversold.
In this episode
- How Gary’s approach to investing has evolved over the years
- Investing vs trading — is there a difference?
- How Gary invests his money today How much time does Gary spend managing his accounts?
- What is the momentum anomaly, and why does it work?
- Why Gary become interested in something which seems to be the opposite of momentum?
- Does mean-reversion have as rich a scientific foundation as momentum?
- Why counter-trend mean-reversion works
- In what time horizon should counter-trends be observed?
- Main behavioural biases underlying mean reversion / counter-trend trading.
- Is Gary’s approach to investing fully systematic? Is there room for discretion?
- What is SnapBack Trading?
- How did Gary come up with this model?
- What are its advantages and disadvantages?
- Why does this approach work? What instruments does Gary trade and why?
- How many ETFs are in Gary’s trade universe? What kind of returns and drawdowns has this approach had?
- What does Gary think about passive investing (i.e. permanent portfolios, 60/40, etc.)
- Optimal Momentum — Gary’s website
- Dual Momentum — Gary’s blog
- Dual Momentum Investing — Gary’s book (highly recommended!)
- 🔊 STS 011 – Gary Antonacci: combining relative strength price momentum with absolute momentum
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