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Quantitative Momentum

Book Description

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.

Table of Contents

  1. Title Page
  2. Copyright
  3. Dedication
  4. Preface
  5. Acknowledgments
  6. About the Authors
  7. Part One: Understanding Momentum
    1. Chapter 1: Less Religion; More Reason
      1. Technical Analysis: The Market's Oldest Religion
      2. A New Religion Emerges: Fundamental Analysis
      3. The Age of Evidence-Based Investing
      4. Don't Worry: This Book Is About Stock-Selection Momentum
      5. Summary
      6. Notes
    2. Chapter 2: Why Can Active Investment Strategies Work?
      1. Into the Lion's Den
      2. Good Investing Is Like Good Poker: Pick the Right Table
      3. Growth Investing Stinks, So Why Do It?
      4. Summary
      5. Notes
    3. Chapter 3: Momentum Investing Is Not Growth Investing
      1. The Efficient Market Mafia Kills Relative Strength
      2. “Momentum” Rises from the Ashes
      3. Behavioral Finance Theorists Explain Momentum
      4. Wait a Minute: Momentum Investing Is Just Growth Investing, Which Doesn't Work!
      5. Digging Deeper into Growth versus Momentum
      6. But Why Does Momentum Work?
      7. Summary
      8. Notes
    4. Chapter 4: Why All Value Investors Need Momentum
      1. Momentum Is a Myth
      2. Asness Separates Fact from Fiction
      3. Expanding Your Horizons with Momentum
      4. Marrying Value and Momentum
      5. Summary
      6. Notes
  8. Part Two: Building a Momentum-Based Stock Selection Model
    1. Chapter 5: The Basics of Building a Momentum Strategy
      1. How to Calculate Generic Momentum
      2. Three Types of Momentum
      3. Why Momentum Portfolio Construction Matters
      4. Summary
      5. Notes
    2. Chapter 6: Maximizing Momentum: The Path Matters
      1. The Performance of Lottery Stocks
      2. The Path to Momentum Profits
      3. The Results
      4. Summary
      5. Notes
    3. Chapter 7: Momentum Investors Need to Know Their Seasons
      1. Window Dressing
      2. Tax-Motivated Trading
      3. Great Theories: But Why Do We Care?
      4. Momentum Seasonality: The Results
      5. Summary
      6. Notes
    4. Chapter 8: Quantitative Momentum Beats the Market
      1. Transaction Costs
      2. The Parameters of the Universe
      3. Quantitative Momentum Analysis
      4. A Peek Inside the Black Box
      5. Beating the Market with Quantitative Momentum
      6. Notes
    5. Chapter 9: Making Momentum Work in Practice
      1. A Two-Legged Stool: Value + Momentum
      2. A Three-Legged Stool: Combo + Trend
      3. Career Risk Considerations
      4. What if I Can't Handle Poor Relative Performance?
      5. Notes
    6. Appendix A. Investigating Alternative Momentum Concepts
      1. How is Momentum Related to Fundamentals?
      2. Is the 52-Week High a Better Momentum Signal?
      3. Can Absolute Strength Improve Relative Strength Momentum?
      4. Can the Volatility of Momentum be Constrained?
      5. Notes
    7. Appendix B: Performance Statistics Definitions
    8. About the Companion Website
  9. Index
  10. End User License Agreement