Quantitative Momentum: A Practitioners Guide to Building a Momentum–Based Stock Selection System

Praise for Quantitative Momentum

"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

"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

Foreword

Preface

Acknowledgments

About the Authors

Part One: Understanding Momentum

Chapter 1: Less Religion; More Reason

Chapter 2: Why Can Active Investment Strategies Work?

Chapter 3: Momentum Investing Is Not Growth Investing

Chapter 4: Why All Value Investors Need Momentum

Part Two: Building a Momentum–Based Stock Selection Model

Chapter 5: The Basics of Building a Momentum Strategy

Chapter 6: Maximizing Momentum: The Path Matters

Chapter 7: Momentum Investors Need to Know Their Seasons

Chapter 8: Quantitative Momentum Beats the Market

Chapter 9: Making Momentum Work in Practice

Appendix 1: Investigating Alternative Momentum Concepts

Appendix 2: Performance Statistics Definitions

About the Companion Website

Index

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.