Gary Antonacci's systematic strategy combining absolute momentum (trend-following on an individual asset) with relative momentum (favouring the strongest-performing assets across a universe).
Deeper Explanation
Antonacci's research demonstrated that combining two forms of momentum produces superior risk-adjusted returns to either approach alone. Relative momentum selects the best-performing assets from a defined universe (e.g., the top-performing of equities, bonds, and real estate). Absolute momentum filters out those assets when their own trend is negative (i.e., when US equities have a negative 12-month return, shift to bonds regardless of relative ranking). This dual filter captured the momentum premium while avoiding the catastrophic drawdowns that pure relative momentum strategies suffer in bear markets. The strategy requires minimal trading — typically monthly rebalancing — making it highly tax-efficient.
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