Quantitative Momentum

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Quantitative Momentum

Wesley R. Gray,Jack R. Vogel
Quantitative Momentum Book PDF

Author : Wesley R. Gray,Jack R. Vogel
Publisher : John Wiley & Sons
Page : 215 pages
File Size : 46,6 Mb
Release : 2016-10-03
Category : Business & Economics
ISBN : 9781119237198

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Quantitative Momentum by Wesley R. Gray,Jack R. Vogel Pdf

The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.

Quantitative Momentum

Wesley R. Gray,Jack R. Vogel
Quantitative Momentum Book PDF

Author : Wesley R. Gray,Jack R. Vogel
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 50,9 Mb
Release : 2016-09-13
Category : Business & Economics
ISBN : 9781119237266

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Quantitative Momentum by Wesley R. Gray,Jack R. Vogel Pdf

The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.

Quantitative Value, + Web Site

Wesley R. Gray,Tobias E. Carlisle
Quantitative Value Web Site Book PDF

Author : Wesley R. Gray,Tobias E. Carlisle
Publisher : John Wiley & Sons
Page : 293 pages
File Size : 45,6 Mb
Release : 2012-12-26
Category : Business & Economics
ISBN : 9781118328071

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Quantitative Value, + Web Site by Wesley R. Gray,Tobias E. Carlisle Pdf

A must-read book on the quantitative value investment strategy Warren Buffett and Ed Thorp represent two spectrums of investing: one value driven, one quantitative. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of value investing and quantitative investing as disciplines and apply them to a completely unique approach to stock selection. Such an approach has several advantages over pure value or pure quantitative investing. This new investing strategy framed by the book is known as quantitative value, a superior, market-beating method to investing in stocks. Quantitative Value provides practical insights into an investment strategy that links the fundamental value investing philosophy of Warren Buffett with the quantitative value approach of Ed Thorp. It skillfully combines the best of Buffett and Ed Thorp—weaving their investment philosophies into a winning, market-beating investment strategy. First book to outline quantitative value strategies as they are practiced by actual market practitioners of the discipline Melds the probabilities and statistics used by quants such as Ed Thorp with the fundamental approaches to value investing as practiced by Warren Buffett and other leading value investors A companion Website contains supplementary material that allows you to learn in a hands-on fashion long after closing the book If you're looking to make the most of your time in today's markets, look no further than Quantitative Value.

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Gary Antonacci
Dual Momentum Investing An Innovative Strategy for Higher Returns with Lower Risk Book PDF

Author : Gary Antonacci
Publisher : McGraw Hill Professional
Page : 256 pages
File Size : 43,7 Mb
Release : 2014-11-21
Category : Business & Economics
ISBN : 9780071849456

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Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk by Gary Antonacci Pdf

The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.

DIY Financial Advisor

Wesley R. Gray,Jack R. Vogel,David P. Foulke
DIY Financial Advisor Book PDF

Author : Wesley R. Gray,Jack R. Vogel,David P. Foulke
Publisher : John Wiley & Sons
Page : 230 pages
File Size : 47,8 Mb
Release : 2015-08-31
Category : Business & Economics
ISBN : 9781119071501

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DIY Financial Advisor by Wesley R. Gray,Jack R. Vogel,David P. Foulke Pdf

DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth DIY Financial Advisor is a synopsis of our research findings developed while serving as a consultant and asset manager for family offices. By way of background, a family office is a company, or group of people, who manage the wealth a family has gained over generations. The term 'family office' has an element of cachet, and even mystique, because it is usually associated with the mega-wealthy. However, practically speaking, virtually any family that manages its investments—independent of the size of the investment pool—could be considered a family office. The difference is mainly semantic. DIY Financial Advisor outlines a step-by-step process through which investors can take control of their hard-earned wealth and manage their own family office. Our research indicates that what matters in investing are minimizing psychology traps and managing fees and taxes. These simple concepts apply to all families, not just the ultra-wealthy. But can—or should—we be managing our own wealth? Our natural inclination is to succumb to the challenge of portfolio management and let an 'expert' deal with the problem. For a variety of reasons we discuss in this book, we should resist the gut reaction to hire experts. We suggest that investors maintain direct control, or at least a thorough understanding, of how their hard-earned wealth is managed. Our book is meant to be an educational journey that slowly builds confidence in one's own ability to manage a portfolio. We end our book with a potential solution that could be applicable to a wide-variety of investors, from the ultra-high net worth to middle class individuals, all of whom are focused on similar goals of preserving and growing their capital over time. DIY Financial Advisor is a unique resource. This book is the only comprehensive guide to implementing simple quantitative models that can beat the experts. And it comes at the perfect time, as the investment industry is undergoing a significant shift due in part to the use of automated investment strategies that do not require a financial advisor's involvement. DIY Financial Advisor is an essential text that guides you in making your money work for you—not for someone else!

Understanding Momentum in Investment Technical Analysis

Michael C. Thomsett
Understanding Momentum in Investment Technical Analysis Book PDF

Author : Michael C. Thomsett
Publisher : Business Expert Press
Page : 146 pages
File Size : 51,7 Mb
Release : 2019-06-24
Category : Business & Economics
ISBN : 9781949991635

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Understanding Momentum in Investment Technical Analysis by Michael C. Thomsett Pdf

This book explains and demonstrates the concept of momentum in chart analysis, which is of great interest to technical analysts. It includes complete explanations of overbought and oversold, where momentum fits in the broader science of technical analysis, and the importance of moving average crossover. Five major momentum oscillators are explained in depth: relative strength index, MACD, rate of change, stochastics, and Bollinger Bands. Finally, the book provides trading guidance based on momentum, involving coordination of oscillators with other indicators, reversal, and continuation signals. Momentum powerfully identifies the strength and speed of price movement. Through the use of index calculations, momentum is effective when used as a confirming indicator for other signals found in price, volume, or moving averages. Often overlooked by traders focused solely on price reversals or continuation signals, momentum provides a context to price behavior and to the price trend, and can vastly improves the timing of both entry and exit of trades.

Reproducible Finance with R

Jonathan K. Regenstein, Jr.
Reproducible Finance with R Book PDF

Author : Jonathan K. Regenstein, Jr.
Publisher : CRC Press
Page : 248 pages
File Size : 48,9 Mb
Release : 2018-09-24
Category : Mathematics
ISBN : 9781351052603

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Reproducible Finance with R by Jonathan K. Regenstein, Jr. Pdf

Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis is a unique introduction to data science for investment management that explores the three major R/finance coding paradigms, emphasizes data visualization, and explains how to build a cohesive suite of functioning Shiny applications. The full source code, asset price data and live Shiny applications are available at reproduciblefinance.com. The ideal reader works in finance or wants to work in finance and has a desire to learn R code and Shiny through simple, yet practical real-world examples. The book begins with the first step in data science: importing and wrangling data, which in the investment context means importing asset prices, converting to returns, and constructing a portfolio. The next section covers risk and tackles descriptive statistics such as standard deviation, skewness, kurtosis, and their rolling histories. The third section focuses on portfolio theory, analyzing the Sharpe Ratio, CAPM, and Fama French models. The book concludes with applications for finding individual asset contribution to risk and for running Monte Carlo simulations. For each of these tasks, the three major coding paradigms are explored and the work is wrapped into interactive Shiny dashboards.

Market Momentum

Stephen Satchell,Andrew Grant
Market Momentum Book PDF

Author : Stephen Satchell,Andrew Grant
Publisher : John Wiley & Sons
Page : 448 pages
File Size : 44,8 Mb
Release : 2020-12-02
Category : Business & Economics
ISBN : 9781119599326

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Market Momentum by Stephen Satchell,Andrew Grant Pdf

A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.

The Current State of Quantitative Equity Investing

Ying L. Becker,Marc R. Reinganum
The Current State of Quantitative Equity Investing Book PDF

Author : Ying L. Becker,Marc R. Reinganum
Publisher : CFA Institute Research Foundation
Page : 82 pages
File Size : 41,5 Mb
Release : 2018-05-10
Category : Business & Economics
ISBN : 9781944960452

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The Current State of Quantitative Equity Investing by Ying L. Becker,Marc R. Reinganum Pdf

Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.

Quantitative Equity Portfolio Management

Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Quantitative Equity Portfolio Management Book PDF

Author : Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Publisher : CRC Press
Page : 462 pages
File Size : 50,7 Mb
Release : 2007-05-11
Category : Business & Economics
ISBN : 9781420010794

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Quantitative Equity Portfolio Management by Edward E. Qian,Ronald H. Hua,Eric H. Sorensen Pdf

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for

The Guru Investor

John P. Reese,Jack M. Forehand
The Guru Investor Book PDF

Author : John P. Reese,Jack M. Forehand
Publisher : John Wiley & Sons
Page : 336 pages
File Size : 55,9 Mb
Release : 2009-02-04
Category : Business & Economics
ISBN : 9780470446775

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The Guru Investor by John P. Reese,Jack M. Forehand Pdf

Today's investor is faced with a myriad of investment options and strategies. Whether you are seeking someone to manage your money or are a self-directed investor deciding to tackle the market on your own, the options can be overwhelming. In an easy-to-read and simple format, this book will dissect the strategies of some of Wall Street's most successful investment gurus and teach readers how to weed through the all of the choices to find a strategy that works for them. The model portfolio system that author John Reese developed turns each strategy into an actionable system, addressing many of the common mistakes that doom individual investors to market underperformance. This book will focus on the principles behind the author's multi-guru approach, showing how investors can combine the proven strategies of these legendary "gurus" into a disciplined investing system that has significantly outperformed the market. Gurus covered in the book are: Benjamin Graham; John Neff; David Dreman; Warren Buffett; Peter Lynch; Ken Fisher; Martin Zweig; James O'Shaughnessy; Joel Greenblatt; and Joseph Piotroski.

Algorithmic Trading

Ernie Chan
Algorithmic Trading Book PDF

Author : Ernie Chan
Publisher : John Wiley & Sons
Page : 230 pages
File Size : 50,9 Mb
Release : 2013-05-28
Category : Business & Economics
ISBN : 9781118460146

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Algorithmic Trading by Ernie Chan Pdf

Praise for Algorithmic TRADING “Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. Concepts are not only described, they are brought to life with actual trading strategies, which give the reader insight into how and why each strategy was developed, how it was implemented, and even how it was coded. This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection, where the knowledge contained in this book will lead to a more informed and nuanced conversation with managers.” —DAREN SMITH, CFA, CAIA, FSA, Managing Director, Manager Selection & Portfolio Construction, University of Toronto Asset Management “Using an excellent selection of mean reversion and momentum strategies, Ernie explains the rationale behind each one, shows how to test it, how to improve it, and discusses implementation issues. His book is a careful, detailed exposition of the scientific method applied to strategy development. For serious retail traders, I know of no other book that provides this range of examples and level of detail. His discussions of how regime changes affect strategies, and of risk management, are invaluable bonuses.” —ROGER HUNTER, Mathematician and Algorithmic Trader

Angular Momentum Techniques in Quantum Mechanics

V. Devanathan
Angular Momentum Techniques in Quantum Mechanics Book PDF

Author : V. Devanathan
Publisher : Springer Science & Business Media
Page : 242 pages
File Size : 48,8 Mb
Release : 2006-04-11
Category : Science
ISBN : 9780306471230

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Angular Momentum Techniques in Quantum Mechanics by V. Devanathan Pdf

A course in angular momentum techniques is essential for quantitative study of problems in atomic physics, molecular physics, nuclear physics and solid state physics. This book has grown out of such a course given to the students of the M. Sc. and M. Phil. degree courses at the University of Madras. An elementary knowledge of quantum mechanics is an essential pre-requisite to undertake this course but no knowledge of group theory is assumed on the part of the readers. Although the subject matter has group-theoretic origin, special efforts have been made to avoid the gro- theoretical language but place emphasis on the algebraic formalism dev- oped by Racah (1942a, 1942b, 1943, 1951). How far I am successful in this project is left to the discerning reader to judge. After the publication of the two classic books, one by Rose and the other by Edmonds on this subject in the year 1957, the application of angular momentum techniques to solve physical problems has become so common that it is found desirable to organize a separate course on this subject to the students of physics. It is to cater to the needs of such students and research workers that this book is written. A large number of questions and problems given at the end of each chapter will enable the reader to have a clearer understanding of the subject.

Principles of Quantitative Equity Investing

Sugata Ray
Principles of Quantitative Equity Investing Book PDF

Author : Sugata Ray
Publisher : FT Press
Page : 289 pages
File Size : 50,5 Mb
Release : 2015-05-30
Category : Business & Economics
ISBN : 9780134193397

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Principles of Quantitative Equity Investing by Sugata Ray Pdf

In Principles of Quantitative Equity Investing, pioneering financial researcher Dr. Sugata Ray demonstrates how to invest successfully in US equities with quantitative strategies, using rigorous rule sets to decide when and what to trade. Whether you’re a serious investor, professional advisor, or student of finance, Ray will help you determine the optimal quantitative rules for your investing objectives, and then "backtest" their performance through any historical time period. He demonstrates each key technique using state-of-the-art Equities Lab software — and this book comes with 20 weeks of free access to Equities Lab, plus a discount on its purchase. Ray covers key topics including stock screening, portfolio rebalancing, market timing, returns and dividends, benchmarks, bespoke measures, and more. He also presents a series of powerful screens built by many of the world’s most successful investors. Together, this guidebook and software combine to offer a turnkey solution for creating virtually any quantitative strategy, and then accurately estimating its performance and risk characteristics — helping you systematically maximize your profits and control your risk.

Weekend Trend Trader

Nick Radge
Weekend Trend Trader Book PDF

Author : Nick Radge
Publisher : Radge Publishing
Page : 128 pages
File Size : 41,5 Mb
Release : 2024-05-22
Category : Business & Economics
ISBN : 8210379456XXX

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Weekend Trend Trader by Nick Radge Pdf

The Weekend Trend Trader is a trading strategy designed for people who want a simple to follow trading plan that trades just once a week. An ideal investment strategy for people who work full time but are actively planning for their retirement. Weekend Trend Trader is designed for and tested on the US stock Market. The Weekend Trend Trader strategy is a turnkey strategy that uses no discretion. In other words the strategy has a set of rules and users should understand why they entered a trade and when and how they will exit. Because the rules are strictly and mathematically defined we are able to back test the strategy on historical data. This enables us to understand the strategy’s nuances and therefore better understand how the journey to success will be travelled. The strategy is a combination of several tools that: * ensures you will always be aligned with the trend of the broader market * enters positions at specific points and with reasonable confirmation * manages existing positions with a trailing stop loss * defends existing positions if the trend of the broader market reverses * outlines how much to invest in each position. We will fully step through each of these points in detail and slowly build the system from the ground up.