Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Dual Momentum Investing presents a systematic framework for asset allocation that combines relative strength with absolute momentum. Gary Antonacci explains how comparing investments with one another and evaluating their performance against Treasury bills serve different purposes: selecting stronger assets and identifying when equity exposure should give way to a defensive allocation.

The book develops these principles into Global Equities Momentum (GEM), a model built around U.S. equities, non-U.S. equities, and aggregate bonds. Its implementation uses a 12-month look-back period and monthly allocation decisions. Antonacci connects the model’s rules to academic research, historical comparisons, and practical considerations for implementation through exchange-traded funds.

Before introducing GEM, the book examines momentum’s history, modern portfolio theory, behavioral explanations for return persistence, asset selection, and smart beta strategies. It also explains how to assess investment approaches using risk-adjusted returns, tail risk, and drawdowns. Later chapters address model complexity, backtest overfitting, and additional applications such as balanced portfolios and sector rotation.

The practical value lies in connecting investment research with an explicit decision process. For investors and investment professionals studying systematic portfolio management, the book provides a framework for evaluating momentum-based allocation and understanding its trade-offs. Its performance comparisons describe historical evidence rather than assured future outcomes.

✅ What You’ll Learn

• Distinguish relative momentum, which compares assets, from absolute momentum, which evaluates an asset’s return against Treasury bills.
• Follow the book’s GEM allocation process across U.S. equities, non-U.S. equities, and aggregate bonds.
• Understand how a 12-month look-back period and monthly reviews govern portfolio decisions.
• Identify why total-return data matters when comparing investment performance.
• Evaluate strategies using Sharpe ratios, maximum drawdowns, return distributions, and benchmark comparisons.
• Recognize behavioral explanations for momentum, including investor underreaction and overreaction.
• Assess the risks of data snooping, excessive parameter optimization, and backtest overfitting.
• Examine absolute momentum as an overlay for balanced and risk parity portfolios.

💡 Key Benefits

• An explicit allocation framework: Connects investment selection and defensive positioning within one repeatable process.
• Research-to-practice clarity: Links academic findings with an accessible portfolio implementation.
• Broader risk awareness: Places drawdown depth and downside exposure alongside conventional return and volatility measures.
• Disciplined decision-making: Provides a structure for reducing reliance on forecasts and emotionally driven allocation changes.
• Critical model evaluation: Helps readers assess whether added complexity improves a strategy or merely enhances its historical appearance.

👤 Who This Book Is For

• Beginner to intermediate investors with basic knowledge of stocks, bonds, and funds who want an introduction to systematic allocation.
• Long-term ETF investors studying monthly portfolio rotation and alternatives to static asset mixes.
• Financial advisers and portfolio managers evaluating momentum research and its implications for client portfolios.
• Systematic traders and quantitative investing students examining transparent strategy rules, historical testing, and downside-risk assessment.

📚 Table of Contents

• Foreword by Wesley R. Gray, PhD
• Acknowledgments
• Preface
• Chapter 1: World’s First Index Fund
• Chapter 2: What Goes Up … Stays Up
• Chapter 3: Modern Portfolio Theory Principles and Practices
• Chapter 4: Rational and Not-So-Rational Explanations of Momentum
• Chapter 5: Asset Selection: The Good, the Bad, and the Ugly
• Chapter 6: Smart Beta and Other Urban Legends
• Chapter 7: Measuring and Managing Risk
• Chapter 8: Global Equities Momentum
• Chapter 9: Mo’ Better Momentum
• Chapter 10: Final Thoughts
• Appendix A: Global Equity Momentum Monthly Results
• Appendix B: Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk By Gary Antonacci