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The Algorithmic Advantage

017 - Gary Antonacci - Absolute & Relative Momentum: Trading ETFs & Mega Caps

Apr 8, 2024
01:03:33

In an insightful episode of "The Algorithmic Advantage" podcast, we are joined by Gary Antonacci, a notable figure in the finance sector, best known for his innovative dual momentum investment strategy. With an illustrious background that includes an MBA from Harvard and substantial experience in various facets of the financial industry, Gary shares his journey from working in brokerage to collaborating with trading legends in managed futures, and ultimately to his pivotal discovery of momentum investing. This strategy, which he meticulously developed and shared through his influential book, Dual Momentum, has significantly impacted the investment models used today by many family offices and significant investors.


I thought it was interesting to hear Gary clarify, post-show, why he chose the terms he did for absolute and relative momentum, and I thought it would be well worth sharing here. Essentially, he prefers ‘relative’ to ‘cross-sectional’ and ‘absolute’ as opposed to ‘time series’ momentum.


Cross-sectional applies when you segment a single market into group rankings such as deciles based on returns over a given lookback period. Relative momentum is more inclusive. It includes this but also can be applied when you compare the performance of different assets. It makes no sense to refer to that as cross-sectional momentum.


Absolute momentum makes more sense than time-weighted momentum since all momentum looks at economic time series in the form of asset returns.


Investors are familiar already with relative and absolute returns. Referring to momentum the same way makes intuitive sense.


Visit the website for links to resources discussed on the show: www.thealgorithmicadvantage.com


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