Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks

Published on April 4, 2022

Get Popular Stories About Momentum Trading Returns, 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

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

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

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

Popular Momentum signs

Momentum traders aren’t necessarily bothered with the fundamentals of the underlying asset– such as its long-term development potential customers and also the economic circumstances surrounding it. All Momentum Trading trader normally respects is cost action. This is why most Momentum investors rely heavily on technological analysis and also indicators to identify when to enter as well as leave each trade.

Popular Momentum indications consist of:

The Momentum indicator

The Closely Equal strength index (RSI).
Moving averages.
The stochastic oscillator.

Momentum trading summarized.

  • Momentum trading is the practise of purchasing and also offering possessions according to the recent toughness of price patterns.
  • They will open up a placement to take advantage of an expected cost change and shut the setting when the trend begins to shed its strength.
  • Momentum trading is based on Volume, volatility and timespan.
  • Momentum trading jobs by enabling traders to recognize the price of modification in a possession’s price or Volume. As neither price or Volume will certainly proceed in one direction indefinitely, Momentum is typically considered an oscillating action.
    Momentum investors focus on rate action instead of long-lasting growth as well as principles.
  • Popular indications for Momentum trading consist of the Momentum indicator, the RSI, MAs as well as the stochastic oscillator.

    Explore New Articles Explaining Momentum Trading Returns and Financial market news, evaluation, trading signals and also Forex investor evaluations.

    Forex Disclaimer:

    Our solution includes products that are traded on margin as well as lug a risk of losses over of your transferred funds. The products might not be suitable for all financiers. Please make certain that you totally comprehend the threats included.

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