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19 reviewsISBN 10: 111923719X
ISBN 13: 9781119237198
Author: Wesley Gray, Jack Vogel
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.
Part One: Understanding Momentum
Chapter 1: Less Religion; More Reason
Technical Analysis: The Market's Oldest Religion
A New Religion Emerges: Fundamental Analysis
The Age of Evidence-Based Investing
Don't Worry: This Book Is About Stock-Selection Momentum
Summary
Notes
Chapter 2: Why Can Active Investment Strategies Work?
Into the Lion's Den
Good Investing Is Like Good Poker: Pick the Right Table
Growth Investing Stinks, So Why Do It?
Summary
Notes
Chapter 3: Momentum Investing Is Not Growth Investing
The Efficient Market Mafia Kills Relative Strength
“Momentum” Rises from the Ashes
Behavioral Finance Theorists Explain Momentum
Wait a Minute: Momentum Investing Is Just Growth Investing, Which Doesn't Work!
Digging Deeper into Growth versus Momentum
But Why Does Momentum Work?
Summary
Notes
Chapter 4: Why All Value Investors Need Momentum
Momentum Is a Myth
Asness Separates Fact from Fiction
Expanding Your Horizons with Momentum
Marrying Value and Momentum
Summary
Notes
Part Two: Building a Momentum-Based Stock Selection Model
Chapter 5: The Basics of Building a Momentum Strategy
How to Calculate Generic Momentum
Three Types of Momentum
Why Momentum Portfolio Construction Matters
Summary
Notes
Chapter 6: Maximizing Momentum: The Path Matters
The Performance of Lottery Stocks
The Path to Momentum Profits
The Results
Summary
Notes
Chapter 7: Momentum Investors Need to Know Their Seasons
Window Dressing
Tax-Motivated Trading
Great Theories: But Why Do We Care?
Momentum Seasonality: The Results
Summary
Notes
Chapter 8: Quantitative Momentum Beats the Market
Transaction Costs
The Parameters of the Universe
Quantitative Momentum Analysis
A Peek Inside the Black Box
Beating the Market with Quantitative Momentum
Notes
Chapter 9: Making Momentum Work in Practice
A Two-Legged Stool: Value + Momentum
A Three-Legged Stool: Combo + Trend
Career Risk Considerations
What if I Can't Handle Poor Relative Performance?
Notes
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Tags: Wesley Gray, Jack Vogel, Quantitative, Momentum