Market Momentum

A THOROUGH, HOLISTIC INTRODUCTION TO A COVETED INVESTMENT STRATEGY

Momentum investing is a topic of rigorous debate and endless study—with good reason. Returns on the order of 12% annually have been recorded by investors following short-to-medium-term market trends. Quantitative investment professionals and students of finance and economics require a solid understanding of the mechanisms underlying this fascinating strategy.

Written by top quants in business and academia, Market Momentum addresses key questions such as:

• What are the important momentum investment strategies across asset classes?
• What are the theoretical explanations of market momentum, from behavioural and mathematical viewpoints?
• How are risk and return structured in momentum investing?
• What have been the characteristics of effective real-world momentum portfolios?
• Which statistical techniques and machine-learning applications are suited to the strategy and in which markets?

Market Momentum goes well beyond the extant, practitioner-oriented literature to provide a thorough introduction to the strategy, incorporating the latest research to bring the subject fully up to date.