Momentum Factor Investing

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Chapters

Chapter 2Stock Picking Is a Loser's Game0/7
  • Most stocks are terrible investments
  • The professionals cannot do it either
  • The Coffee Can myth
  • The problem nobody mentions: value has no single definition
  • The right way to own the value premium
  • Value feels smart, momentum feels silly
  • The attachment trap
Chapter 3The Discovery of Momentum
  • Before it had a name: relative strength
  • The paper that started everything
  • Why Fama and French left momentum out
  • Carhart bolts it on anyway
  • Momentum is everywhere
  • Two centuries of out-of-sample evidence
  • Why does it work, and will it keep working?
  • Momentum in Indian equities
Chapter 4This Is Not Alpha, and That Is Good News
  • What a factor actually is
  • We are not claiming alpha
  • Why beating most mutual funds is realistic
  • Tracking error regret is the real enemy
Chapter 5Measuring Momentum
  • One input: adjusted close
  • Why you skip the most recent month
  • Formation, skip and holding periods
  • Cross-sectional vs time-series momentum
  • Ranks, z-scores and composites
Chapter 6The 12-1 Momentum Portfolio
  • 12-1: the full methodology
  • A worked example, end to end
  • What 12-1 gets right and where it hurts
Chapter 7The 6-1 Momentum Portfolio
  • 6-1: the full methodology
  • When the faster signal wins
Chapter 8The 12-1 and 6-1 Overlap Portfolio
  • Overlap: the full methodology
  • Why the intersection is stronger than either signal
Chapter 9Frog-in-the-Pan Momentum
  • The frog-in-the-pan hypothesis
  • Information Discreteness: the full methodology
Chapter 10Nearness to the 52-Week High
  • The anchoring anomaly
  • 52-week high: the full methodology
Chapter 11The Nifty Momentum Methodology
  • How NSE builds a momentum index
  • Nifty momentum score: the full methodology
  • What to copy and what to fix
Chapter 12Risk-Adjusted and Residual Momentum
  • Momentum divided by volatility
  • Residual momentum
Chapter 13Dual Momentum and Crash Protection
  • Absolute momentum and the trend filter
  • Momentum crashes and how to survive them
Chapter 14Building Your Portfolio
  • Why the Nifty Total Market index is your universe
  • Why exactly 20 stocks
  • Why you equal weight, every single time
  • Why you rebalance monthly
  • Entry and exit rules, written down
  • Costs and taxes in India
  • Rebalance day, step by step
Chapter 15Living With the System
  • The drawdowns you will face
  • How not to fool yourself with a backtest
  • Buy high, sell higher
  • Systematic investing: build your own index fund
Chapter 16Final Exam
  • Final exam

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