Quantitative Momentum

Quantitative Momentum

A Practitioner's Guide to Building A Momentum-based Stock Selection System

Book - 2016
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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.
Publisher: Hoboken, New Jersey : WILEY, [2016]
ISBN: 9781119237198
Characteristics: xiii, 187 pages : illustrations ; 23 cm
Additional Contributors: Vogel, Jack R. 1983-- Author


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Mar 10, 2017

Overall good strategy however, i was disappointed becuase this is purely theoretical and the numbers don't add up in his example for apple.

The part 1 (ch 1 to 4) of the book just talks about other peoples thesis on investment, other people's likes and dislikes about technical analysis and his dislikes about them. At the end, i thought, i should not have read part 1.

His strategy starts from Ch5 which i highly recommend to start from that point unless you have lots of time to kill and are interested in the history, why and who wrote what, someone elses likes and dislikes. Also talks about mutual fund managers; why they do what they do, why it's good for short term only, etc. Maybe people who are into mutual funds will change after reading this! ;-)

The author shows his backtests about Growth stocks and Value stocks and conculdes that growth stock will always underperform value or momentum.

Chapter 5: Shows steps how to calculate Returns over last 12 months (pg 80) but does not explain why he converts it to gross return and what is a gross return, he does not take actual returns without explaining the difference.

Finally, the value of momentum stocks, the actual topic was dropped and wants the reader to go back and read his other book on quantitative value to find out how he calculates / filters value stocks. For returns he uses monthly data but for his other component ie FIP, he uses daily data. Calculating daily return and getting a count of total number of +ve and -ve returns for last 12 months, is insane.

Inconsistency: He talks about taking last 12 motnhs data for returns after dropping last months so essentially it shoud be 11 months. However, his example on pg 80 takes 12 month of returns.

Over all, not happy and looks more academic.
(grammar and spellings are not checked)


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