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

ISBN-13: 9781119237198 / Angielski / Twarda / 2016 / 208 str.

Jack R. (Drexel Universitys LeBow College of Business; Unive

Opis

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.

Recenzje

"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

Spis treści

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

O autorze

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.

Blurb

Praise for Quantitative Momentum

"In our own research, we have found that the predictive price return momentum pattern persists backward in time for hundreds of years in equities and for extended out–of–sample settings for other classes of assets. Anyone who is using, studying, or incorporating momentum will find a wealth of information in the pages of Quantitative Momentum."
Chris Geczy, Founder and CEO of Forefront Analytics

"If you want to understand, explore, and ultimately exploit momentum investing, then there is no better (or faster) way than to read Quantitative Momentum."
Pat O′Shaughnessy, Principal and Portfolio Manager of O′Shaughnessy Asset Management

"Wes and Jack do an admirable job explaining momentum principles and its behavioral basis. If you are interested in using momentum as a stock selection tool, this is a must–have book."
Gary Antonacci, author of Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

"Quantitative Momentum is the story of momentum–based stock selection algorithms. Wes and Jack lucidly explain how and why these systems work."
Narasimhan Jegadeesh, Dean′s Distinguished Chair in Finance at Goizueta Business School