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Better System Trader

Better System Trader

Better System Trader is the podcast and blog dedicated to systematic traders, providing practical tips from trading experts around the world.

067 – Quantitative Momentum with Jack Vogel

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The guest for this episode is Jack Vogel from Alpha Architect, a quantitative asset management and consulting firm.

Jack has published a number of papers on SSRN and also co-authored a couple of books including “Quantitative Momentum: a practitioners guide to building a momentum-based stock selection system”.

In our chat with Jack you will hear:

  • Momentum – what is it, what causes it and the different types you need to be aware of
  • How to best apply momentum techniques to a portfolio
  • Why measuring the quality of a trend is so important and how to do it

Resources mentioned in this episode

  • Jack can be contacted on the website http://www.alphaarchitect.com/ or on twitter @jvogs02 and @alphaarchitect
  • Alpha Architects white paper on momentum: http://blog.alphaarchitect.com/2015/12/01/quantitative-momentum-investing-philosophy/#gs.LrwL99I
  • “Frog in the pan” paper: http://www3.nd.edu/~zda/Frog.pdf
  • “Value and Momentum everywhere” paper: http://pages.stern.nyu.edu/~lpederse/papers/ValMomEverywhere.pdf
  • Books mentioned in the show:

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Momentum appears to work across almost all assets, countries etc

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Stocks that have performed well over the intermediate term generally continue to outperform

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Momentum and value are the two best factors long-term

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Transcript


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Episode Released:

8 January 2017

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066 - What can traders learn fro...
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Trackbacks

  1. Quantocracy's Daily Wrap for 01/08/2017 | Quantocracy says:
    January 9, 2017 at 4:16 pm

    […] Quantitative Momentum with Jack Vogel (@jvogs02) [Better System Trader] […]

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