Read more
Informationen zum Autor 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. Klappentext 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 Zusammenfassung 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. Inhaltsverzeichnis 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 ...
List of contents
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
Report
"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
