Quantitative Momentum: A Practitioner'S Guide To Building A Momentum-Based Stock Selection System

In Wes Gray's prior book, Quantitative Value, he described a complex systematic value strategy strategy using techniques limited to sophisticated quants at large quantitative hedge funds on Wall Street. Why not do the same thing forMomentum? The first part of his new book, co-author with Jack Vogel and David Foulke, will outline what momentum investing is and what it is not. Many value investors are confused by momentum andincorrectly assume it is “growth” investing. Similarly, technical traders consider momentum to be an esoteric academic concept that some quant managers add into their value models.The reality is that momentum stands on its own two feet as a stock selection strategy. Quantitative Momentum will educate investors about momentum and highlight that the phenomenon has deep roots in behavioral psychology and is widely utilized by sophisticated hedge funds on Wall Street.

WESLEY R. GRAY, PHD, is founder and CEO/CIO of Alpha Architect, an asset management firm delivering affordable, active exposures for tax-sensitive investors. He is coauthor of Quantitative Value and DIY Financial Advisor, as well as author of Embedded: A Marine Corps Advisor Inside the Iraqi Army.

JACK R. VOGEL, PHD, is CFO/CIO of Alpha Architect, an asset management firm delivering affordable, active exposures for tax-sensitive investors. He is coauthor of DIY Financial Advisor.