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

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