Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks

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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The American Association of Individual Investors is an independent, nonprofit corporation formed for the purpose of assisting individuals in becoming effective managers of their own assets through programs of education, information and research.

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