Read Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System by Wesley R. Gray Jack R. Vogel David P. Foulke Online

quantitative-momentum-a-practitioner-s-guide-to-building-a-momentum-based-stock-selection-system

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 hThe 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 notDiscover 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....

Title : Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System
Author :
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ISBN : 9781119237259
Format Type : ebook
Number of Pages : 208 Pages
Status : Available For Download
Last checked : 21 Minutes ago!

Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System Reviews

  • Rafael Jose Velasquez
    2018-09-05 10:55

    Great book, definitely convince me that momentum investing 'works'.Deep evidence based analysis of the merit of momentum and different approaches to it. As well as interesting discussions of why it happens.Possible reasons are, people tend to underestimate the impact of steady good news and thus increasing prices reflect the slow incorporation of that information into prices.Interesting part as well is that the seemingly arbitrary choice of which specific months to reblalance (say for quarterly rebalancing) can have a significant impact as there is seasonality in the market. Generally you want to rebalance the month before calendar quarter end.Finally it discusses the role of momentum in a portfolio. Specifically it is a great diversifier for value strategies and a combination of these strategies is easier for an invest to hold and reduces large period of relative underperformance.

  • Pete Nikolai
    2018-09-07 07:50

    Great summary of the current perspective on momentum investing. While the ride can be a bit bumpy, the results have historically been dramatically better than conservative buy and hold investing.I have added an enhancement which turbocharges results and am working on a manuscript to be published in the next year or so...

  • Asif
    2018-08-26 14:29

    As a fundamental investor I started this book with mixed expectations. I thoroughly enjoyed the book. It explained momentum investing very well for beginners and also why it works. The theory was backed by thorough research. Also the tradeoffs in investing (to avoid big drawdown one has to compromise on returns) were clearly documented.

  • Jon Lapinski
    2018-08-30 14:53

    Excellent research as is to be expected from Dr. Wes Gray. Transparent and thorough review of momentum investing literature as well as the authors selected approach. However, a little more complicated and maybe a little less robust than 'Quantitative Value'

  • Darcy Qiu
    2018-08-20 15:54

    Succinct summary of momentum investmentThe authors studied all papers on the topic of momentum investment and summarised everything to this 200 pages book in a practical fashion. The book offers insight for someone who didn't know much about momentum investing.

  • Stevewilliams27
    2018-08-28 10:40

    Meaty and filling but hard on the digestive tract. Goes down easier after I regurgitate it a couple times and spice it up a bit. Definitely more satisfying than my last Gray meal and pairs better with GAINNNNNSSSS

  • Devin Haria
    2018-08-29 12:38

    Amazing read. Informative. Well written!

  • Ankit
    2018-09-09 15:49

    A great read for people interested in finance and investing...

  • Liam Polkinghorne
    2018-09-20 13:56

    Provides evidence that momentum strategies are sustainable due to: (1) investors will continue to suffer behavioural bias - an underreaction to positive news, and (2) costly arbitrage - career risk for managers who are delegated to by short-sighted performance chasers - momentum, like value, can suffer from long-term periods of underperformance.

  • Carl
    2018-09-11 07:53

    This is a terrific book. As good as the authors' prior book, "DIY Financial Advisor," which was also great. I strongly recommend reading both of these books, plus "Quantitative Value" (even though it isn't as smoothly written, the content is excellent).I did, however, manage to get myself all sorts of confused about which approach to measuring momentum the authors use in "Quantitative Momentum." I believe this would not have been a problem for me if two approaches to measurement hadn't been laid out early on, on page 11.
There, the authors start out saying they're going to outline what they mean by stock selection momentum. Then they define two approaches to measure momentum, time-series versus relative strength. The explanation is clear. Although the conclusion is puzzling to me, as on page 12 they say that these two approaches are often used in market-timing or asset-class selection, neither of which is the focus of the book.
But surely in this book they do measure momentum, and presumably with one or both of the two methods they just defined. So which is it? I was hoping for a summary line like this: "When we talk about measuring momentum in the rest of this book, we'll be using the {choose one of: time-series / relative strength}approach." Or, we'll use both and use words like "trend following when we use relative strength" and "generic when we use absolute," or whatever would be accurate.
I figured this would become obvious as I kept reading but I didn't come across a clear rule. Yet it must matter, since the authors bothered to define the terms. I find myself wondering, perhaps this is an OCD trigger issue for me. You're no doubt wondering the same.
On page 49, it sounds like relative strength is the approach. On page 77, the authors introduce the phrase "generic momentum" as a time-series approach. Since they earlier spent a page defining time-series and relative strength, I was really hoping they'd come back to those terms again. Now I have three terms, but I feel pretty confident that I can reduce them to two, with time-series and generic as roughly equivalent. This was supported by "How to calculate generic momentum" on page 80. I'm not super confident though, because I kind of feel that if they wanted me to consider generic as isomorphic to absolute, they'd have said so back on pages 11/12.
Things sort of come together on page 122, where my sense is that the authors calculate generic momentum (time-series) and then use those scores to do relative strength measures against the universe of stocks. Well, whether or not that's what they meant, that's what I took out of it. Since I wasn't clear on the fundamentals from page 11 to page 122, I'm not confident that I have it right now either. And on page 172 they specifically mention time-series, but that may be to clarify the method used by the reference for that particular analysis.
In fairness, I am so much not the target audience of professional investment quants that I'm clearly not a good test subject for the readability of this minor detail within this book. But if the authors ever do another edition, in deference to the slower students, they really should consider changing the summary section on page 12 to something like this:
"You'll find that we also use the term 'generic momentum' as a synonym for time-series or absolute momentum. As you progress in this book, you'll find that we use a combination of the two (time-series and relative strength), using a time-series sort first, and then comparing the outcomes to the universe of stocks to get relative strength as the secondary measure." [Unless this is dead wrong. Sigh.]I'd also probably delete the sentences on page 12 that say these usually only matter to market-timing or asset-class selection which aren't the subjects of this book -- because it feels like the authors are telling the reader that they've wasted their time understanding a description of time-series and relative strength when it isn't even relevant to the book they are reading. And lead them to wonder what the authors do use.
Okay, barring that, I really loved the book! Well written, very clear, and good examples.

  • Carl
    2018-09-07 07:56

    This is a terrific book. As good as the authors' prior book, "DIY Financial Advisor," which was also great. I strongly recommend reading both of these books, plus "Quantitative Value" (even though it isn't as smoothly written, the content is excellent).I did, however, manage to get myself all sorts of confused about which approach to measuring momentum the authors use in "Quantitative Momentum." I believe this would not have been a problem for me if two approaches to measurement hadn't been laid out early on, on page 11.
There, the authors start out saying they're going to outline what they mean by stock selection momentum. Then they define two approaches to measure momentum, time-series versus relative strength. The explanation is clear. Although the conclusion is puzzling to me, as on page 12 they say that these two approaches are often used in market-timing or asset-class selection, neither of which is the focus of the book.
But surely in this book they do measure momentum, and presumably with one or both of the two methods they just defined. So which is it? I was hoping for a summary line like this: "When we talk about measuring momentum in the rest of this book, we'll be using the {choose one of: time-series / relative strength}approach." Or, we'll use both and use words like "trend following when we use relative strength" and "generic when we use absolute," or whatever would be accurate.
I figured this would become obvious as I kept reading but I didn't come across a clear rule. Yet it must matter, since the authors bothered to define the terms. I find myself wondering, perhaps this is an OCD trigger issue for me. You're no doubt wondering the same.
On page 49, it sounds like relative strength is the approach. On page 77, the authors introduce the phrase "generic momentum" as a time-series approach. Since they earlier spent a page defining time-series and relative strength, I was really hoping they'd come back to those terms again. Now I have three terms, but I feel pretty confident that I can reduce them to two, with time-series and generic as roughly equivalent. This was supported by "How to calculate generic momentum" on page 80. I'm not super confident though, because I kind of feel that if they wanted me to consider generic as isomorphic to absolute, they'd have said so back on pages 11/12.
Things sort of come together on page 122, where my sense is that the authors calculate generic momentum (time-series) and then use those scores to do relative strength measures against the universe of stocks. Well, whether or not that's what they meant, that's what I took out of it. Since I wasn't clear on the fundamentals from page 11 to page 122, I'm not confident that I have it right now either. And on page 172 they specifically mention time-series, but that may be to clarify the method used by the reference for that particular analysis.
In fairness, I am so much not the target audience of professional investment quants that I'm clearly not a good test subject for the readability of this minor detail within this book. But if the authors ever do another edition, in deference to the slower students, they really should consider changing the summary section on page 12 to something like this:
"You'll find that we also use the term 'generic momentum' as a synonym for time-series or absolute momentum. As you progress in this book, you'll find that we use a combination of the two (time-series and relative strength), using a time-series sort first, and then comparing the outcomes to the universe of stocks to get relative strength as the secondary measure." [Unless this is dead wrong. Sigh.]I'd also probably delete the sentences on page 12 that say these usually only matter to market-timing or asset-class selection which aren't the subjects of this book -- because it feels like the authors are telling the reader that they've wasted their time understanding a description of time-series and relative strength when it isn't even relevant to the book they are reading. And lead them to wonder what the authors do use.
Okay, barring that, I really loved the book! Well written, very clear, and good examples.

  • Brian Moroz
    2018-09-10 10:33

    Good investing read. You will actually see ideas backed by peer-reviewed primary literature (OMG!).