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



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

Wesley R. Gray, Jack R. Vogel

ISBN: 978-1-119-23725-9 September 2016 208 Pages


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.

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

Errata in Text
Correction marked pdf for table A1.10 is attached here.
Errata in Text
Corrections pdf (collectively given) is attached here.
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Errata in Text
All corrections were posted in downloads section.