PDF Ebook Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System (Wiley Finance), by Wesley R. Gray, Jack
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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.
- Sales Rank: #11112 in Books
- Published on: 2016-10-03
- Original language: English
- Number of items: 1
- Dimensions: 9.30" h x .80" w x 6.30" l, .0 pounds
- Binding: Hardcover
- 208 pages
Review
"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
From the Inside Flap
On the surface, value investors seem to have a polar opposite mindset from momentum investors. Value investors generally buy cheap out-of-favor stocks, while momentum investors buy stocks with strong price trends. But the behavioral biases and career concerns that drive expected excess returns for value investors are the key mechanisms also driving the long-term sustainability of momentum. Quantitative Momentum fully explores exactly how and why systematic momentum investing is a powerful strategy, arguing that momentum investing is potentially more potent than value investing.
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.
From the Back Cover
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
Most helpful customer reviews
10 of 11 people found the following review helpful.
Need momentums to do a good job...
By YT Jeon
The book shows momentum investing works. As the author mentioned in the book, it's not the book about asset allocation, but momentum stocks selection tool. So it's not easy to implement the strategies without using the screening tool on the web site provided by authors.
5 of 6 people found the following review helpful.
First came Value, now their definitive book on Momentum
By Devin L. Hughes, CFA
Quantitative Momentum is a must read for any investor employing a Factor-based approach. Dr. Wesley Gray and Dr. Jack Vogel lay out a clear and compelling case for incorporating Momentum into any equity portfolio, particularly one currently focused on Value. While the philosophies underpinning Momentum and Value appear diametrically opposed to each other, the authors conclusively demonstrate that a portfolio comprised of both Momentum and Value picks will provide superior risk-adjusted return than either Factor alone. The book then details how best to build the Momentum side of such a portfolio (Dr. Gray having already thoroughly examined the Value side in Quantitative Value).
While the nuances of building a properly structured momentum portfolio are definitely important (and indeed the main purpose of the book), the most interesting takeaways for me were these:
Dispassion in the face of dogma
Whether it is Indexing, Technical Analysis, Fundamental Analysis, or something else, most investors follow a religion (or in some cases, more of a cult). Unfortunately, most of these investing religions tend to rely far more on behavioral dispositions rather than rigorous analysis. Even successful practitioners of Value investing (which has significant academic evidence to support it) can fall prey to their own behavioral biases and reject Momentum out of hand without considering the academic evidence. As the book details, this is a significant mistake (especially for Value Investors, who surprisingly have the most to gain from devoting a portion of their portfolio to Momentum). While it isn’t easy or particularly fun, dispassionately combing through the Investment literature to build a rigorous portfolio is the best and only way to achieve superior returns over the long run.
Conviction in one’s strategy
The very first chapter is appropriately titled “Less Religion: More Reason.” An important addendum to this maxim would be “More Faith in Reason.” Once you have identified a strategy (such as Momentum) backed by significant academic research and rooted in exploiting well-known behavioral biases, it is critical to stick with that strategy. As the authors repeatedly emphasize, both momentum and value strategies can experience several years of underperformance at a time. Recognizing that these periods are ultimately transitory (though they can be very painful) and staying true to the stock selection system is the most essential part of Factor investing and thereby earning superior returns over the long run.
Risk is multifaceted
If I had to level one criticism of the book, it is that while the authors touch on a variety of different risk metrics that are arguably more useful than simple standard deviation and market beta (including some that fall outside the scope of quantifiable metrics such as career risk), they don’t delve into a deeper discussion of which risk metrics are the most pertinent for a practitioner, and how the choice of risk metric can greatly influence portfolio construction. Perhaps this can be the topic of a future book.
Education is paramount
As the founder of Hughes Capital Management, educating my clients about Factor Investing and the need for a long time horizon is paramount. Successfully implementing a portfolio based on value, momentum, and other proven Factors is meaningless if your client panics during times of inevitable underperformance and market downturns. The authors highlight the telling case of Ken Heebner’s CGM Focus Fund, a very successful fund by any metric, whose average investor still lost money due to bailing at the absolute worst times. Constructing a clear, evidence-based portfolio that isn’t a black box is perhaps the most important part of the education process and building trust with the client. Quantitative Momentum, along with their earlier Quantitative Value, provides the foundation for that portfolio.
4 of 5 people found the following review helpful.
Probably couldn't find a better book on stock momentum systems at 4X the price
By Mark Knecht
Given the right frame-of-mind I think most traders/investors will find this a very useful book. It fits right in beside the author's previous works "DIY Financial Advisor" and "Quantitative Value". (Wesley Gray sans Jack Vogel). It's well written and covers the topic well. It sets up a framework for understanding momentum investing and does a good job IMO of covering the upside - better long-term returns - vs the downside of under-performance for long stretches of time. I felt the authors were honest about how applicable this might be in the real world.
That said, I think it's important that folks considering buying the book understand that (in this writer's opinion) the book isn't going to supply you with a turnkey momentum trading system that you can live with day-in and day-out so if that's what you're looking for look elsewhere. What the book does very well, I think, is put you in the space you probably want to be working in for starting your own design of a momentum-based trading system that you can live with as part of a portfolio of systems, momentum being only one, working together.
If you're serious about the thinking side of trading momentum and/or if you trade any type of system with holding times in the 1-5 month range then I highly recommend this purchase. I can only imagine it having a positive long-term impact on your results which is what this is all really about anyway.
See all 17 customer reviews...
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