Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks

Explore Trending Review Explaining Momentum Trading Journal, Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks.

The American Association of Individual Investors held a live webinar event on Wednesday, September 9, 2020, with Jack Vogel.

Alpha Architect’s Jack Vogel discusses his book “Quantitative Momentum: A Practitioner’s Guide to Building a Momentum-Based Stock Selection System.” He presents the evidence behind a momentum stock strategy, considers whether there is a better way to select high momentum stocks and shows why portfolio construction matters.

Watch This Webinar and Learn: 
-The basics of momentum investing: how (and why) to build a momentum stock portfolio 
-The best ways to identify and select high momentum stocks  
-Answers to questions about constructing a momentum portfolio: How many stocks should I own? How often should I rebalance? How do I assess a real-world momentum portfolio?

AAII Articles
Factors Allow Investors to Think Differently About Diversification (https://www.aaii.com/journal/article/factors-allow-investors-to-think-differently-about-diversification)
Momentum’s Role as a Driver of Stock Prices (https://www.aaii.com/journal/article/momentums-role-as-a-driver-of-stock-prices)
Incorporating Momentum Into Your Stock Investing Strategy (https://www.aaii.com/journal/article/10971-incorporating-momentum-into-your-stock-investing-strategy)
Why Momentum Strategies Can Crash (https://www.aaii.com/journal/article/why-momentum-strategies-can-crash)
Tax-Efficient Investing: Picking the Right Pocket for Your Assets (https://www.aaii.com/journal/article/tax-efficient-investing-picking-the-right-pocket-for-your-assets)
Selecting Active Equity Mutual Funds: Don’t Get Caught in the Middle (https://www.aaii.com/journal/article/selecting-active-equity-mutual-funds-dont-get-caught-in-the-middle)
Guide to the Top ETFs 2020 (http://www.aaii.com/guides/etfguide)

Other Resources
“Quantitative Momentum,” by Jack Vogel and Wes Gray (Wiley, 2016) (https://www.amazon.com/gp/product/B01LY6P2LB/ref=dbs_a_def_rwt_bibl_vppi_i0)
Kenneth French Data Library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)
Dissecting Anomalies by Kenneth French and Eugene Fama, Journal of Finance, 2008 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=911960)
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency by Narasimhan Jegadeesh and Sheridan Titman, Journal of Finance, 1993 (http://www.e-m-h.org/JeTi93.pdf)
Frog in the Pan: Continuous Information and Momentum by Zhi Da, Umit G. Gurun and Mitch Warachka, Review of Financial Studies, 2013 (https://www3.nd.edu/~zda/Frog.pdf)
Do Mutual Fund Investors Get What They Pay For? The Legal Consequences of Closet Index Funds by K.J. Martijn Cremers and Quinn Curtis, November 2015 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2695133)
Factor Investing and Trading Costs by Jack Vogel, Alpha Architect, November 2017 (https://alphaarchitect.com/2017/11/28/factor-investing-and-trading-costs)
Fact, Fiction, and Momentum Investing by Clifford Asness, Andrea Frazzini, Ronen Israel and Tobias Moskowitz, The Journal of Portfolio Management, Vol. 40, No. 5 (https://images.aqr.com/-/media/AQR/Documents/Insights/Interviews/PA–Fact-Fiction-and-Momentum-Investing-FINAL.pdf)
Why Investors Should Combine Value and Momentum Investing Strategies by Jack Vogel, Alpha Architect, March 2016 (https://alphaarchitect.com/2016/03/22/why-investors-should-combine-value-and-momentum)
How to Combine Value and Momentum Investing Strategies by Jack Vogel, Alpha Architect, March 2015 (https://alphaarchitect.com/2015/03/26/the-best-way-to-combine-value-and-momentum-investing-strategies)

Here are the slides from the presentation: https://www.aaii.com/files/images/09-20Quantitative.Momentum.pdf

Want more financial education? Learn more about AAII at https://www.aaii.com

ABOUT AAII
The American Association of Individual Investors is an independent, nonprofit corporation formed for the purpose of assisting individuals in becoming effective managers of their own assets through programs of education, information and research.

Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks | AAII

Momentum Trading Journal, Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks.

Exactly how do we determine the Momentum?

Researchers calculate the Momentum by increasing the mass of the object by the rate of the object. It is a sign of exactly how difficult it would certainly be to quit the object. If you were running, you could have a mass of 50 kgs and a speed of 10 meters per 2nd west (really rapid).

Nevertheless, the concept was covered and left inactive adhering to the growth and popularisation of value investing concept from the 1930s forward. Financiers would certainly concentrate much more on the inherent, or “essential,” worth of an asset, and less on the trajectory of the movement of its price.

Following a renaissance of technical evaluation later on in the century, the concept of Momentum investing appreciated a revival with the publication of a research by Jegadeesh and Titman in 1993. It showed that traders and markets had a tendency to offer positive feedback to recent info about possession prices, therefore enhancing price patterns as they hold.

Closely Equal Momentum And Also Absolute Momentum.

Momentum trading can be classified in two groups: Closely Equal Momentum and outright Momentum.

Closely Equal Momentum method is where the efficiency of various securities within a certain possession class are compared against each other, and capitalists will favour purchasing strong doing securities and offering weak doing securities.
Absolute Momentum method is where the behavior of the price of a security is compared against its previous efficiency in a historic time collection.
In currency trading, either Closely Equal or outright Momentum can be used. Nevertheless, Momentum trading methods are much more frequently connected with outright Momentum.

Exactly how Is Forex Momentum Strategy Employed?

Momentum can be figured out over longer periods of weeks or months, or within day-trading time frames of minutes or hours.

The very first step traders customarily take is to identify the direction of the trend in which they intend to trade. Making use of among several Momentum indications offered, they might then seek to establish an access indicate acquire (or sell) the possession they are trading. They will likewise intend to identify a rewarding and practical leave point for their trade based upon projected and formerly observed degrees of support and resistance within the market.

Additionally, they are suggested to establish stop-loss orders above or listed below their trade entry point– depending on the direction of the trade. This remains in order to protect against the opportunity of an unanticipated price-trend reversal and undesirable losses.

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