Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System (Wiley Finance) - Hardcover

Über die Autorin bzw. den Autor

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.

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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.

Aus dem Klappentext

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.