Investing is simple, but not easy, as Warren Buffett says. And yes — technically the investment process should be as simple as possible. But does it mean that an average investor should not even think about active investment strategies and entirely rely on a passive portfolio? Which strategy is best to follow? And will it work tomorrow?
In this interview, my guest, Jack Vogel from Alpha Architect, talks about many trading topics, including momentum and mean reversion market anomalies.
In this episode
- Which market anomalies have the greatest edge in Jack’s opinion?
- What does Jack think about Tactical Asset Allocation?
- What is momentum, why it works and will it continue to work?
- What are the types of momentum?
- For which asset classes momentum works?
- What personality traits one needs to be a successful systematic investor?
- Can momentum be useful for value investors?
- Is it better to apply momentum on stock indices rather than individual stocks?
- How can GEM behave in the era of near-zero or negative interest rates?
- What is mean reversion?
- What causes mean reversion anomaly?
About Jack Vogel
Dr. Vogel conducts research in empirical asset pricing and behavioral finance. Dr. Vogel is a co-author of DIY FINANCIAL ADVISOR: A Simple Solution to Build and Protect Your Wealth and QUANTITATIVE MOMENTUM: A Practitioner’s Guide to Building a Momentum-Based Stock Selection System. His academic background includes experience as an instructor and research assistant at Drexel University in both the Finance and Mathematics departments, as well as a Finance instructor at Villanova University. He has a Ph.D. in Finance and an MS in Mathematics from Drexel University. Dr. Vogel graduated summa cum laude with a BS in Mathematics and Education from The University of Scranton.
Some useful links
- Value and Momentum Everywhere, Cliff Asness, Tobias J. Moskowitz, Lasse H. Pedersen
- Trend-Following: A Decade of Underperformance, Jack Vogel
- Can momentum work in individual stocks after trading costs?, Jack Vogel
- Quantitative Momentum: A Practitioner’s Guide to Building a Momentum-Based Stock Selection System, Jack Vogel, Wesley Gray
- Jack’s SSRN papers
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