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
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
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.