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Matthias Knab, Opalesque: Charles Lewis Sizemore, CFA, Chief Investment Officer at Sizemore
Capital, writes on Harvest Exchange:
Portfolio manager and researcher Dr. Wesley Gray is at it again, looking
for ways to build that proverbial better mousetrap. I reviewed Gray’s
previous book, Quantitative Value , which he co-wrote with Tobias
Carlisle, and found it to be "solid piece of research that combines the
successful value investing framework of Benjamin Graham and Warren
Buffett with the analytical rigor seen in Jim O’Shaughnessy’s What Works
on Wall Street and Joel Greenblatt ’s The Little Book that Beats the
Market ."
Now, Gray’s follow-up book, Quantitative Momentum , aims to apply the
same analytical rigor to momentum investing. Gray co-wrote Quantitative
Momentum with Jack Vogel, with whom he published DIY Financial Advisor
last year. That these gentlemen have managed to publish two well
researched and highly-analytical books in back-to-back years is a feat
in and of itself. But the book’s biggest contribution to the growing
field of research supporting momentum investing is its assertion that
momentum and value investing are essentially "two sides of the same
behavioral bias coin."
As Gray and Vogel put it, value investing works because investors
systematically overreact to bad news, pushing market prices below
intrinsic value. Momentum investing works because investors
systematically underreact to good news. So again, both are the p...................... To view our full article Click here
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