Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks

Описание: 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/...)
Momentum’s Role as a Driver of Stock Prices (https://www.aaii.com/journal/article/...)
Incorporating Momentum Into Your Stock Investing Strategy (https://www.aaii.com/journal/article/...)
Why Momentum Strategies Can Crash (https://www.aaii.com/journal/article/...)
Tax-Efficient Investing: Picking the Right Pocket for Your Assets (https://www.aaii.com/journal/article/...)
Selecting Active Equity Mutual Funds: Don’t Get Caught in the Middle (https://www.aaii.com/journal/article/...)
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/B01...)
Kenneth French Data Library (https://mba.tuck.dartmouth.edu/pages/...)
Dissecting Anomalies by Kenneth French and Eugene Fama, Journal of Finance, 2008 (https://papers.ssrn.com/sol3/papers.c...)
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.c...)
Factor Investing and Trading Costs by Jack Vogel, Alpha Architect, November 2017 (https://alphaarchitect.com/2017/11/28...)
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/Do...)
Why Investors Should Combine Value and Momentum Investing Strategies by Jack Vogel, Alpha Architect, March 2016 (https://alphaarchitect.com/2016/03/22...)
How to Combine Value and Momentum Investing Strategies by Jack Vogel, Alpha Architect, March 2015 (https://alphaarchitect.com/2015/03/26...)

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

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