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Dual Momentum Debut

By Gary Antonacci


I was an ardent admirer of Richard Russell when I started in the investment business back in the 1970s. So I am delighted now to be able to contribute to Dow Theory Letters.


My specialty over the past 35 years has been developing and using rules-based quantitative models for gaining an edge over the markets. In recent years, I have focused mainly on momentum investing, which is comprised of two elements. The first is relative strength momentum, where you invest in the strongest assets. Systematic relative strength momentum was first documented by the economists Cowles and Jones in 1937. Considerable academic research over the past 20 years has verified that relative strength momentum still persists and leads to higher profits.


The second element I use is called absolute (or time-series) momentum. While relative strength momentum compares an asset’s past performance to its peers, absolute momentum looks at an asset’s performance ... Log in or subscribe to continue reading.

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