Quantitative Momentum : A Practitioner's Guide to Building a Momentum-Based Stock Selection System
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.
- Hardback | 208 pages
- 157 x 194 x 20mm | 388g
- 01 Dec 2016
- John Wiley & Sons Inc
- New York, United States
- 1. Auflage
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A long-held secret of Wall Street hedge funds, and other investors savvy about behavioral finance, is that momentum investing was never a "growth" strategy--it is, and always has been, a historically successful practice that investors should buy winners, regardless of their growth prospects. With the rigor and educational sensibilities author Wesley Gray used to deliver Quantitative Value, the bible on systematic value investing, Quantitative Momentum is a first-of-its-kind guidebook for the individual investor looking to build a stock-picking platform based on momentum. Specifically, the momentum approach identified is ideal for balancing a deep value portfolio and helps to shorten the multi-year relative underperformance of both stand-alone strategies. See how it works for yourself on an accompanying website featuring tools for finding the momentum stocks described inside, additional research, and access to a dynamic community that follows advances in quantitative investing. Written to empower investors through education, this practical system unfolds in micro-lessons of narrative advice and guidance reinforced by illustrative examples that fully prepare you to do the following: Understand how and why momentum strategies may or may not work in the future Form a portfolio of stocks based on evidence-based momentum stock- selection signals Tactically deploy a momentum stock portfolio in the context of a broader investment portfolio
Look no further than Quantitative Momentum to inject PhD-level research and sophistication into your portfolio.
Back cover copy
"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
Table of contents
- 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
About Wesley R. Gray