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Quantitative Momentum


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Table of Contents

Preface ix Acknowledgments xi About the Authors xiii PART ONE Understanding Momentum 1 CHAPTER 1 Less Religion; More Reason 3 CHAPTER 2 Why Can Active Investment Strategies Work? 14 CHAPTER 3 Momentum Investing Is Not Growth Investing 43 CHAPTER 4 Why All Value Investors Need Momentum 62 PART TWO Building a Momentum-Based Stock Selection Model 77 CHAPTER 5 The Basics of Building a Momentum Strategy 79 CHAPTER 6 Maximizing Momentum: The Path Matters 93 CHAPTER 7 Momentum Investors Need to Know Their Seasons 107 CHAPTER 8 Quantitative Momentum Beats the Market 120 CHAPTER 9 Making Momentum Work in Practice 144 APPENDIX A Investigating Alternative Momentum Concepts 155 APPENDIX B Performance Statistics Definitions 175 About the Companion Website 176 Index 177

About the Author

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.


"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?

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