Table of Contents

Foreword by Wesley R. Gray, PhD vii
Acknowledgments xi
Preface xiii

CHAPTER 1 World’s First Index Fund 1
CHAPTER 2 What Goes Up . . . Stays Up 13
CHAPTER 3 Modern Portfolio Theory Principles and Practices 25
CHAPTER 4 Rational and Not-So-Rational Explanations of Momentum 35
CHAPTER 5 Asset Selection: The Good, the Bad, and the Ugly 45
CHAPTER 6 Smart Beta and Other Urban Legends 71
CHAPTER 7 Measuring and Managing Risk 83
CHAPTER 8 Global Equities Momentum 93
CHAPTER 9 Mo’ Better Momentum 115
CHAPTER 10 Final Thoughts 135

APPENDIX A Global Equity Momentum Monthly Results 143
APPENDIX B Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay 145

Notes 173
Glossary 183
Bibliography 193
Recommended Reading 207
Index 209

About the Author

Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He earned an MBA at Harvard.