See Wesley Gray and Tobias Carlisle, Quantitative Value: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors (Hoboken, NJ: John Wiley & Sons, 2012), and Chris Geczy and Mikhail Samonov, “Two Centuries of Price Return Momentum,” Financial Analysts Journal (2016).
14
See Gary Antonacci, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk (New York: McGraw-Hill, 2014), and Tobias Moskowitz, Yao Ooi, and Lasse Pedersen, “Time Series Momentum,” Journal of Financial Economics 104 (2012): 228–250.
15
See Andreas Clenow, “Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies,” self-published, 2015, for a practitioner perspective, and see Narasimhan Jegadeesh and Sheridan Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” The Journal of Finance 48 (1993): 65–91, for an academic discussion.
16
See Antonacci's Dual Momentum book for a discussion of dual momentum in an asset allocation context, which is different than our context of individual stock selection. It conveys the idea of using both types of momentum in an investment system.
1996).
