Momentum Is Dead! Long Live Momentum!

In our inaugural Algo Bootcamp, we teamed up with our super-active community of traders and developed a long-only, always-in-the-market strategy for harvesting risk premia. It holds a number of different ETFs, varying their relative weighting on a monthly basis. We’re happy with it. However, the perennial question remains: can we do better? As you might …

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Dual Momentum Investing: A Quant’s Review

I recently read Gary Antonacci’s book¬†Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was clear to me that this was an important book to share with the Robot Wealth community. It is important not only because it describes a simple approach to exploiting the “premier anomaly” (Fama and French, …

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