Quantitative Momentum (eBook)

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

Wesley R. Gray, Jack R. Vogel (Autoren)

eBook Download: PDF

2016
John Wiley & Sons (Verlag)
978-1-119-23726-6 (ISBN)

Infos

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.

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.

Inhalt

Cover 1
Title Page 5
Copyright 6
Contents 9
Preface 11
Acknowledgments 13
About the Authors 15
Part 1: Understanding Momentum 19
Chapter 1: Less Religion More Reason
Technical Analysis: The Market's Oldest Religion 21
A New Religion Emerges: Fundamental Analysis 24
The Age of Evidence-Based Investing 26
Don't Worry: This Book Is About Stock-Selection Momentum 28
Summary 29
Notes 30
Chapter 2: Why Can Active Investment Strategies Work? 32
Into the Lion's Den 33
Good Investing Is Like Good Poker: Pick the Right Table 39
Growth Investing Stinks, So Why Do It? 54
Summary 58
Notes 58
Chapter 3: Momentum Investing Is Not Growth Investing 61
The Efficient Market Mafia Kills Relative Strength 61
"Momentum" Rises from the Ashes 62
Behavioral Finance Theorists Explain Momentum 64
Wait a Minute: Momentum Investing Is Just Growth Investing, Which Doesn't Work! 65
Digging Deeper into Growth versus Momentum 67
But Why Does Momentum Work? 71
Summary 77
Notes 78
Chapter 4: Why All Value Investors Need Momentum 80
Momentum Is a Myth 80
Asness Separates Fact from Fiction 81
Expanding Your Horizons with Momentum 83
Marrying Value and Momentum 86
Summary 93
Notes 93
Part 2: Building a Momentum-Based Stock Selection Model 95
Chapter 5: The Basics of Building a Momentum Strategy 97
How to Calculate Generic Momentum 98
Three Types of Momentum 99
Why Momentum Portfolio Construction Matters 105
Summary 109
Notes 110
Chapter 6: Maximizing Momentum: The Path Matters 111
The Performance of Lottery Stocks 114
The Path to Momentum Profits 118
The Results 121
Summary 123
Notes 123
Chapter 7: Momentum Investors Need to Know Their Seasons 125
Window Dressing 126
Tax-Motivated Trading 128
Great Theories: But Why Do We Care? 130
Momentum Seasonality: The Results 132
Summary 136
Notes 136
Chapter 8: Quantitative Momentum Beats the Market 138
Transaction Costs 140
The Parameters of the Universe 142
Quantitative Momentum Analysis 143
A Peek Inside the Black Box 158
Beating the Market with Quantitative Momentum 159
Notes 160
Chapter 9: Making Momentum Work in Practice 162
A Two-Legged Stool: Value + Momentum 162
A Three-Legged Stool: Combo + Trend 167
Career Risk Considerations 169
What if I Can't Handle Poor Relative Performance? 169
Notes 172
Appendix A: Investigating Alternative Momentum Concepts 173
How Is Momentum Related to Fundamentals? 174
Is the 52-Week High a Better Momentum Signal? 180
Can Absolute Strength Improve Relative Strength Momentum? 183
Can the Volatility of Momentum Be Constrained? 187
Notes 192
Appendix B: Performance Statistics Definitions 193
About the Companion Website 194
Index 195
EULA 206

Rezensionen

"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

Produkt-Details

• Erscheint lt. Verlag: 13.9.2016
• Reihe/Serie: Wiley Finance
• Reihe/Serie: Wiley Finance Editions
• Reihe/Serie: Wiley Finance Editions
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Alpha Architect • Business & Finance • David P. Foulke • Empirical Finance • Finance & Investments • Finanz- u. Anlagewesen • Finanzwesen • Investments & Securities • Jack R. Vogel • Kapitalanlagen u. Wertpapiere • Mathematics • Mathematik • Mathematik in Wirtschaft u. Finanzwesen • momentum investing • momentum investing basics • momentum investing guide • momentum investing how-to • momentum investing overview • momentum investing principles • momentum investing strategy • momentum investing techniques • momentum investing tips • momentum investing tools • momentum stock selection • Portfolio Management • Quantitative Investing • Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System • systematic investing • Wesley R. Gray • what is momentum investing
• ISBN-10: 1-119-23726-2 / 1119237262
• ISBN-13: 978-1-119-23726-6 / 9781119237266