Quantitative Momentum

Quantitative Momentum
О книге

Книга "Quantitative Momentum", авторами которой являются Gray R. Wesley}, Vogel R. Jack, представляет собой захватывающую работу в жанре Зарубежная литература. В этом произведении автор рассказывает увлекательную историю, которая не оставит равнодушными читателей.

Автор мастерски воссоздает атмосферу напряженности и интриги, погружая читателя в мир загадок и тайн, который скрывается за хрупкой поверхностью обыденности. С прекрасным чувством языка и виртуозностью сюжетного развития, Gray R. Wesley позволяет читателю погрузиться в сложные эмоциональные переживания героев и проникнуться их судьбами. Wesley настолько живо и точно передает неповторимые нюансы человеческой психологии, что каждая страница книги становится путешествием в глубины человеческой души.

"Quantitative Momentum" - это не только захватывающая история, но и искусство, проникнутое глубокими мыслями и философскими размышлениями. Это произведение призвано вызвать у читателя эмоциональные отклики, задуматься о важных жизненных вопросах и открыть новые горизонты восприятия мира.

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Quantitative Momentum
A Practitioner’s Guide to Building a Momentum-Based Stock Selection System
WESLEY R. GRAY
JACK R. VOGEL
title page

Copyright © 2016 by Wesley R. Gray and Jack R. Vogel. All rights reserved.

Published by John Wiley & Sons, Inc., Hoboken, New Jersey.

Published simultaneously in Canada.

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Library of Congress Cataloging-in-Publication Data:

Names: Gray, Wesley R., author. | Vogel, Jack R., 1983- author.

Title: Quantitative momentum: a practitioner’s guide to building a momentum-based stock selection system / Wesley R. Gray, Jack R. Vogel.

Description: Hoboken, New Jersey: John Wiley & Sons, Inc., [2016] | Series: Wiley finance series | Includes index.

Identifiers: LCCN 2016023789 (print) | LCCN 2016035370 (ebook) | ISBN 9781119237198 (cloth) | ISBN 9781119237266 (pdf) | ISBN 9781119237259 (epub)

Subjects: LCSH: Stocks. | Investments. | Technical analysis (Investment analysis)

Classification: LCC HG4661 .G676 2016 (print) | LCC HG4661 (ebook) | DDC 332.63/2042 – dc23

LC record available at https://lccn.loc.gov/2016023789

Cover image: Wiley

Cover design: © Frank Rohde/Shutterstock

Buy cheap; buy strong; hold 'em long.

– Wes and Jack

Preface

The efficient market hypothesis suggests that past prices cannot predict future success. But there is a problem: past prices do predict future expected performance and this problem is generically labeled “momentum.” Momentum is the epitome of a simple strategy even your grandmother would understand – buy winners. And momentum is an open secret. The track record associated with buying past winners now extends over 200 years and has become the ultimate black eye for the efficient market hypothesis (EMH). So why isn't everyone a momentum investor? We believe there are two reasons: hard-wired behavioral biases cause many investors to be anti-momentum traders, and for the professional, who wants to exploit momentum, marketplace constraints make this a challenging enterprise.

As long as human beings suffer from systematic expectation errors, prices have the potential to deviate from fundamentals. In the context of value investing, this expectation error seems to be an



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