Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System
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.
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
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.
"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
|Errata in Text
Correction marked pdf for table A1.10 is attached here.
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|Errata in Text
Corrections pdf (collectively given) is attached here.
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|Errata in Text
All corrections were posted in downloads section.