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Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies by [Clenow, Andreas]
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Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies Kindle Edition

4.8 out of 5 stars 72 customer reviews

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Editorial Reviews

From the Inside Flap

As a proclaimed trend follower I try to read everything written about the subject.  Clenow has provided a wonderful addition to the trend following literature.  His book, "Stocks on the Move" covers every aspect that needs to be considered including why not to do certain things.  He then steps you through the creation of a complete strategy with enough detail that anyone can use it.  Toward the end he even goes through each year since 1999 on the strategy and how it performed.  This is a book you should own.
 
Gregory L. Morris, author of Investing with the TrendCandlestick Charting Explained, and The Complete Guide to Market Breadth Indicators.  Greg writes a blog for StockCharts.com called Dancing with the Trend.

Product Details

  • File Size: 1970 KB
  • Print Length: 286 pages
  • Publisher: Equilateral Publishing (June 15, 2015)
  • Publication Date: June 15, 2015
  • Sold by: Amazon Digital Services LLC
  • Language: English
  • ASIN: B00YPHZO3W
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Enabled
  • Lending: Not Enabled
  • Enhanced Typesetting: Not Enabled
  • Amazon Best Sellers Rank: #136,808 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
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Customer Reviews

Top Customer Reviews

Format: Paperback Verified Purchase
Four stars from me. Here's why: for those just getting acquainted with asset rotation and ordering by sorts (see Chriss and Almgren 2004, 2005), this book is a fairly good place to start.

However, in terms of innovation, this book presents relatively little new information that hasn't been published on the internet before in various places. It's another, similar take on asset rotation strategies incorporating momentum, and has similar performance, in that it saves your bacon in corrections, and has similar performance to the market in bull runs aside from 2011, when it eats the dip, but doesn't recover the bounce.

To this book's credit, there are some logical innovations regarding a somewhat more elegant way of ranking momentum with an adjustment for volatility, along with addressing turnover (that is, the system is actually path-dependent until it goes fully flat). I am also not sure if I agree with the naïve risk parity weighting scheme (aka inverse risk to each stock in a vacuum, as opposed to computing a covariance matrix, whether using shrunk values or sample), especially because in a bull run, I'd argue that you don't want to diversify away "good" volatility (think about it--in an uptrend, with the price always being away from the moving average, you'll have higher volatility than in sideways markets).

Essentially, I'm withholding one star for the following reasons:

1) The system's performance isn't vastly different from a lot of free systems out there. It gets hurt in 2011, keeps up (if that, will have to reread more closely) in the 2009-present bull run, and saves your bacon in the large corrections.
2) Every-asset-in-a-vacuum is easy to understand, but there was no mention of minimizing the correlation.
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Format: Paperback Verified Purchase
Andreas' previous book Following the Trend is one of my favorite books on trend following as it not only breaks certain myths about the concept of trend following but also demonstrates it with data.

During the course of my journey of trend following and backtesting strategies on Stocks I pretty much came to the same conclusions that Andreas came to in this article provocatively titled Trend Following does not work on Stocks so it resonated deeply with me. An aha moment. Key point is that standard trend following strategies do not work on stocks. First change that has to be made is DO NOT SHORT STOCKS. (Unless you are Bill Ackman) and definitely not using STANDARD trend following strategies. Second is that stocks are a homogenous group and there is massive internal correlation. Owning stocks beyond a certain number is not diversification , it dumb-versification. For more on that read Warren Buffett portfolio by Robert Hagstrom.

And now Stocks on the Move. I will try and give as little as away so that you discover it for yourself when you read the book. Andreas talks about Mutual Funds and how most of them under perform the index itself. He also explains how the new and specific ETFs are not really well understood by people who trade them. He then uses this foundation to talk about why equities are such a difficult asset class to trade and more so on the short side. And most of the observations are spot on. And because of these issues, why Trend Following (TF), as a strategy which was specifically designed to trade a diversified basket of low correlated futures markets cannot be blindly applied to trading stocks on the long and short side.
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Format: Paperback
Self-directed investors can profit from the single strategy presented in this clearly written, well- organized, and detailed book on making money in the stock market using a time-tested, logical strategy. The author’s main focus is to provide a systematic rules-based strategy that beats the buy-and-hold benchmark (S&P 500 used in the book) with much lower risk using a combination of trend following and momentum (relative strength ranking). In today’s unpredictable markets it is critical for investors to uncover a viable investing strategy and to stick with it. That can only be accomplished if there are specific rules to follow. On page 100, Clenow lists his investing rules in conjunction with a simple flow-chart, so there is no confusion on how to proceed. Basically, his strategy is to buy stocks that are moving up in price, only if the overall market trend is positive. He demonstrates how to manage a portfolio of momentum stocks.

Not surprisingly, Clenow points out that about three-quarters of mutual fund managers fail to beat their benchmarks for the three year period ending in 2013, and 61% failed to do so over a five year period as well. Therefore, why should an investor investment in mutual funds with that poor of a track record. One reason or this poor performance is that portfolio managers are very limited in their ability to deviate from their fund’s stated investment objective or to go to a high percentage of cash if they determine a defensive strategy is called for.

Clenow uses a momentum investing approach that has been tested historically and empirically for many years. He discovered in his own testing that momentum stocks perform well in side-ways markets, as long as volatility is reasonable.
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