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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Episode Released:
8 January 2017
[…] Quantitative Momentum with Jack Vogel (@jvogs02) [Better System Trader] […]