Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System

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Wesley R. Gray Jack R. Vogel

Quantitative Momentum

A Practitioner's Guide to Building a Momentum-Based Stock Selection System

Wesley R. Gray, Jack R. Vogel, David P. Foulke

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English

John Wiley & Sons Inc
23 September 2016

Stocks & shares

Series: Wiley Finance

The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold.

Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up.

Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation

The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.

By: Wesley R. Gray, Jack R. Vogel, David P. Foulke
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions: Height: 231mm, Width: 155mm, Spine: 28mm
Weight: 386g
ISBN: 9781119237198
ISBN 10: 111923719X
Series: Wiley Finance
Pages: 208
Publication Date: 23 September 2016
Audience: General/trade , Professional and scholarly , ELT Advanced , Undergraduate
Format: Hardback
Publisher's Status: Active

Preface ix Acknowledgments xi About the Authors xiii Part One Understanding Momentum 1 Chapter 1 Less Religion; More Reason 3 Chapter 2 Why Can Active Investment Strategies Work? 14 Chapter 3 Momentum Investing is Not Growth Investing 43 Chapter 4 Why All Value Investors Need Momentum 62 Part Two Building a Momentum-Based Stock Selection Model 77 Chapter 5 The Basics of Building a Momentum Strategy 79 Chapter 6 Maximizing Momentum: The Path Matters 93 Chapter 7 Momentum Investors Need to Know Their Seasons 107 Chapter 8 Quantitative Momentum Beats the Market 120 Chapter 9 Making Momentum Work in Practice 144 Appendix A Investigating Alternative Momentum Concepts 155 Appendix B Performance Statistics Definitions 175 About the Companion Website 176 Index 177

WESLEY R. GRAY, PhD, is founder and CEO/CIO of Alpha Architect, an asset management firm delivering affordable, active exposures for tax-sensitive investors. He is coauthor of Quantitative Value and DIY Financial Advisor, as well as author of Embedded: A Marine Corps Advisor Inside the Iraqi Army. JACK R. VOGEL, PhD, is CFO/CIO of Alpha Architect, an asset management firm delivering affordable, active exposures for tax-sensitive investors. He is coauthor of DIY Financial Advisor.

Reviews for Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System

Systematic momentum investing, as opposed to its complementary cousin value, has not gotten the investor attention it deserves. Wes and Jack fix this problem. Anyone interested in systematic investing should read this book and add more tools to their repertoire. - Cliff Asness, Managing and Founding Principal of AQR Capital Management Most investors would assume the 'premiere anomaly' is value, when in fact it is momentum. Let Wes and Jack take you through a MBA course on momentum that will have you saying by the end - 'the trend is your friend.' -Meb Faber, CIO of Cambria Investment Management Wes and Jack have looked under every rock for an edge and they've found it with momentum. Momentum is the `premier anomaly', so no surprise this is their best book yet. Buy it and read it. -Adam Butler, CEO of ReSolve Asset Management?