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(cid:2) Quantitative Momentum (cid:2) (cid:2) (cid:2) (cid:2) Founded in 1807, John Wiley & Sons is the oldest independent publishing companyintheUnitedStates.WithofficesinNorthAmerica,Europe,Aus- tralia and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional andpersonalknowledgeandunderstanding. TheWileyFinanceseriescontainsbookswrittenspecificallyforfinance and investment professionals, as well as sophisticated individual investors and their financial advisers. Book topics range from portfolio management toe-commerce,riskmanagement,financialengineering,valuationandfinan- cialinstrumentanalysis,aswellasmuchmore. Foralistofavailabletitles,visitourwebsiteatwww.WileyFinance.com. (cid:2) (cid:2) (cid:2) (cid:2) Quantitative Momentum A Practitioner’s Guide to Building a Momentum-Based Stock Selection System (cid:2) (cid:2) WESLEY R. GRAY JACK R. VOGEL (cid:2) (cid:2) Copyright©2016byWesleyR.GrayandJackR.Vogel.Allrightsreserved. PublishedbyJohnWiley&Sons,Inc.,Hoboken,NewJersey. PublishedsimultaneouslyinCanada. Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedin anyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,or otherwise,exceptaspermittedunderSection107or108ofthe1976UnitedStatesCopyright Act,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthrough paymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,Inc.,222 RosewoodDrive,Danvers,MA01923,(978)750-8400,fax(978)646-8600,orontheWeb atwww.copyright.com.RequeststothePublisherforpermissionshouldbeaddressedtothe PermissionsDepartment,JohnWiley&Sons,Inc.,111RiverStreet,Hoboken,NJ07030, (201)748-6011,fax(201)748-6008,oronlineathttp://www.wiley.com/go/permissions. LimitofLiability/DisclaimerofWarranty:Whilethepublisherandauthorhaveusedtheirbest effortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttothe accuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimplied warrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymaybecreated orextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceandstrategies containedhereinmaynotbesuitableforyoursituation.Youshouldconsultwitha professionalwhereappropriate.Neitherthepublishernorauthorshallbeliableforanyloss ofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental, consequential,orotherdamages. Forgeneralinformationonourotherproductsandservicesorfortechnicalsupport,please (cid:2) contactourCustomerCareDepartmentwithintheUnitedStatesat(800)762-2974,outside (cid:2) theUnitedStatesat(317)572-3993orfax(317)572-4002. Wileypublishesinavarietyofprintandelectronicformatsandbyprint-on-demand.Some materialincludedwithstandardprintversionsofthisbookmaynotbeincludedine-booksor inprint-on-demand.IfthisbookreferstomediasuchasaCDorDVDthatisnotincludedin theversionyoupurchased,youmaydownloadthismaterialathttp://booksupport.wiley.com. FormoreinformationaboutWileyproducts,visitwww.wiley.com. LibraryofCongressCataloging-in-PublicationData: Names:Gray,WesleyR.,author.|Vogel,JackR.,1983-author. Title:Quantitativemomentum:apractitioner’sguidetobuildinga momentum-basedstockselectionsystem/WesleyR.Gray,JackR.Vogel. Description:Hoboken,NewJersey:JohnWiley&Sons,Inc.,[2016]|Series: Wileyfinanceseries|Includesindex. Identifiers:LCCN2016023789(print)|LCCN2016035370(ebook)|ISBN 9781119237198(cloth)|ISBN9781119237266(pdf)|ISBN9781119237259 (epub) Subjects:LCSH:Stocks.|Investments.|Technicalanalysis(Investment analysis) Classification:LCCHG4661.G6762016(print)|LCCHG4661(ebook)|DDC 332.63/2042—dc23 LCrecordavailableathttps://lccn.loc.gov/2016023789 Coverimage:Wiley Coverdesign:©FrankRohde/Shutterstock PrintedintheUnitedStatesofAmerica 10987654321 (cid:2) (cid:2) Buy cheap; buy strong; hold ’em long. —Wes and Jack (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) Contents Preface ix Acknowledgments xi AbouttheAuthors xiii PARTONE UnderstandingMomentum 1 CHAPTER1 (cid:2) (cid:2) LessReligion;MoreReason 3 CHAPTER2 WhyCanActiveInvestmentStrategiesWork? 14 CHAPTER3 MomentumInvestingIsNotGrowthInvesting 43 CHAPTER4 WhyAllValueInvestorsNeedMomentum 62 PARTTWO BuildingaMomentum-BasedStockSelectionModel 77 CHAPTER5 TheBasicsofBuildingaMomentumStrategy 79 CHAPTER6 MaximizingMomentum:ThePathMatters 93 vii (cid:2) (cid:2) viii CONTENTS CHAPTER7 MomentumInvestorsNeedtoKnowTheirSeasons 107 CHAPTER8 QuantitativeMomentumBeatstheMarket 120 CHAPTER9 MakingMomentumWorkinPractice 144 APPENDIXA InvestigatingAlternativeMomentumConcepts 155 APPENDIXB PerformanceStatisticsDefinitions 175 AbouttheCompanionWebsite 176 Index 177 (cid:2) (cid:2) (cid:2)

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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 masse
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206 Pages·2016·1.36 MB·English
by  Wesley R. Gray
#beating the street #one up on wall street
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(cid:2) Quantitative Momentum (cid:2) (cid:2) (cid:2) (cid:2) Founded in 1807, John Wiley & Sons is the oldest independent publishing companyintheUnitedStates.WithofficesinNorthAmerica,Europe,Aus- tralia and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional andpersonalknowledgeandunderstanding. TheWileyFinanceseriescontainsbookswrittenspecificallyforfinance and investment professionals, as well as sophisticated individual investors and their financial advisers. Book topics range from portfolio management toe-commerce,riskmanagement,financialengineering,valuationandfinan- cialinstrumentanalysis,aswellasmuchmore. Foralistofavailabletitles,visitourwebsiteatwww.WileyFinance.com. (cid:2) (cid:2) (cid:2) (cid:2) Quantitative Momentum A Practitioner’s Guide to Building a Momentum-Based Stock Selection System (cid:2) (cid:2) WESLEY R. GRAY JACK R. VOGEL (cid:2) (cid:2) Copyright©2016byWesleyR.GrayandJackR.Vogel.Allrightsreserved. PublishedbyJohnWiley&Sons,Inc.,Hoboken,NewJersey. PublishedsimultaneouslyinCanada. Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedin anyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,or otherwise,exceptaspermittedunderSection107or108ofthe1976UnitedStatesCopyright Act,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthrough paymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,Inc.,222 RosewoodDrive,Danvers,MA01923,(978)750-8400,fax(978)646-8600,orontheWeb atwww.copyright.com.RequeststothePublisherforpermissionshouldbeaddressedtothe PermissionsDepartment,JohnWiley&Sons,Inc.,111RiverStreet,Hoboken,NJ07030, (201)748-6011,fax(201)748-6008,oronlineathttp://www.wiley.com/go/permissions. LimitofLiability/DisclaimerofWarranty:Whilethepublisherandauthorhaveusedtheirbest effortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttothe accuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimplied warrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymaybecreated orextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceandstrategies containedhereinmaynotbesuitableforyoursituation.Youshouldconsultwitha professionalwhereappropriate.Neitherthepublishernorauthorshallbeliableforanyloss ofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental, consequential,orotherdamages. Forgeneralinformationonourotherproductsandservicesorfortechnicalsupport,please (cid:2) contactourCustomerCareDepartmentwithintheUnitedStatesat(800)762-2974,outside (cid:2) theUnitedStatesat(317)572-3993orfax(317)572-4002. Wileypublishesinavarietyofprintandelectronicformatsandbyprint-on-demand.Some materialincludedwithstandardprintversionsofthisbookmaynotbeincludedine-booksor inprint-on-demand.IfthisbookreferstomediasuchasaCDorDVDthatisnotincludedin theversionyoupurchased,youmaydownloadthismaterialathttp://booksupport.wiley.com. FormoreinformationaboutWileyproducts,visitwww.wiley.com. LibraryofCongressCataloging-in-PublicationData: Names:Gray,WesleyR.,author.|Vogel,JackR.,1983-author. Title:Quantitativemomentum:apractitioner’sguidetobuildinga momentum-basedstockselectionsystem/WesleyR.Gray,JackR.Vogel. Description:Hoboken,NewJersey:JohnWiley&Sons,Inc.,[2016]|Series: Wileyfinanceseries|Includesindex. Identifiers:LCCN2016023789(print)|LCCN2016035370(ebook)|ISBN 9781119237198(cloth)|ISBN9781119237266(pdf)|ISBN9781119237259 (epub) Subjects:LCSH:Stocks.|Investments.|Technicalanalysis(Investment analysis) Classification:LCCHG4661.G6762016(print)|LCCHG4661(ebook)|DDC 332.63/2042—dc23 LCrecordavailableathttps://lccn.loc.gov/2016023789 Coverimage:Wiley Coverdesign:©FrankRohde/Shutterstock PrintedintheUnitedStatesofAmerica 10987654321 (cid:2) (cid:2) Buy cheap; buy strong; hold ’em long. —Wes and Jack (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) Contents Preface ix Acknowledgments xi AbouttheAuthors xiii PARTONE UnderstandingMomentum 1 CHAPTER1 (cid:2) (cid:2) LessReligion;MoreReason 3 CHAPTER2 WhyCanActiveInvestmentStrategiesWork? 14 CHAPTER3 MomentumInvestingIsNotGrowthInvesting 43 CHAPTER4 WhyAllValueInvestorsNeedMomentum 62 PARTTWO BuildingaMomentum-BasedStockSelectionModel 77 CHAPTER5 TheBasicsofBuildingaMomentumStrategy 79 CHAPTER6 MaximizingMomentum:ThePathMatters 93 vii (cid:2) (cid:2) viii CONTENTS CHAPTER7 MomentumInvestorsNeedtoKnowTheirSeasons 107 CHAPTER8 QuantitativeMomentumBeatstheMarket 120 CHAPTER9 MakingMomentumWorkinPractice 144 APPENDIXA InvestigatingAlternativeMomentumConcepts 155 APPENDIXB PerformanceStatisticsDefinitions 175 AbouttheCompanionWebsite 176 Index 177 (cid:2) (cid:2) (cid:2)

Description:
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 masse
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