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Is Gary Antonacci’s Global Equity Momentum Strategy Robust?

Is Gary Antonacci's Global Equity Momentum Strategy Robust? by Severian Asset Management

Gary Antonacci’s excellent book Dual Momentum Investing is a cult hit. Its success is easy to understand. It offers a simple trading system that crushes the market in both absolute and risk-adjusted terms. Antonacci calls it Global Equity Momentum, or GEM.

Here’s how it works: At the end of each month, compare the trailing 12-month total returns of U.S. and foreign stock markets. Select the one with the higher return. If the selected asset’s 12-month total return is higher than the 12-month total return of cash, buy it. Otherwise, buy investment-grade bonds.

The strategy combines a relative momentum signal (what’s doing better?) with an absolute momentum signal (is it positive?) in a simple and intuitive manner.

Antonacci uses the S&P 500, MSCI ACWI ex-US, and Barclays PLC (NYSE:BCS) (LON:BARC) US Aggregate Bond total return indexes to represent U.S. stock, international stock, and investment-grade bond returns, respectively. Here...