Webinar Wednesdays: Quantitative Momentum Wrap-Up

If you missed our Webinar Wednesday on September 9, you can watch it here.

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.

Presentation slides:
https://www.aaii.com/files/images/09-20Quantitative.Momentum.pdf

Post-Webinar Notes

AAII Articles

Factors Allow Investors to Think Differently About Diversification
Momentum’s Role as a Driver of Stock Prices
Incorporating Momentum Into Your Stock Investing Strategy
Why Momentum Strategies Can Crash
Tax-Efficient Investing: Picking the Right Pocket for Your Assets
Selecting Active Equity Mutual Funds: Don’t Get Caught in the Middle
Guide to the Top ETFs 2020 

Other Resources

“Quantitative Momentum,” by Jack Vogel and Wes Gray (Wiley, 2016)
Kenneth French Data Library
Dissecting Anomalies by Kenneth French and Eugene Fama, Journal of Finance, 2008
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency by Narasimhan Jegadeesh and Sheridan Titman, Journal of Finance, 1993
Frog in the Pan: Continuous Information and Momentum by Zhi Da, Umit G. Gurun and Mitch Warachka, Review of Financial Studies, 2013
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
Factor Investing and Trading Costs by Jack Vogel, Alpha Architect, November 2017
Fact, Fiction, and Momentum Investing by Clifford Asness, Andrea Frazzini, Ronen Israel and Tobias Moskowitz, The Journal of Portfolio Management, Vol. 40, No. 5
Why Investors Should Combine Value and Momentum Investing Strategies by Jack Vogel, Alpha Architect, March 2016
How to Combine Value and Momentum Investing Strategies by Jack Vogel, Alpha Architect, March 2015