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Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies

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Beating the stock market isn’t very difficult. Yet almost all mutual funds consistently fail. Hedge fund manager Andreas F. Clenow takes you behind the scenes to show you why this is the case and how anyone can beat the mutual funds. Momentum investing has been one of very few ways of consistently beating the markets. This book offers you a unique back stage pass, guiding you through how established hedge funds achieve their results.

The stock markets are widely misunderstood. Buying and selling stocks seems so simple. We all know what stocks are and what the companies produce. We’re told that stocks always go up in the long run and that everyone should be in the stock markets. Oversimplifications like that can end up costing you.

In the long run, the major stock indexes show a performance of five to six percent per year. For that return, you will have to bear occasional losses of over half your capital and be forced to wait many years to recover your money. Yes, in the long run stocks do go up. But the story isn’t that simple.

Stocks on the Move outlines a rational way to invest in the markets for the long term. It will walk you through the problems of the stock markets and how to address them. It will explain how to achieve twice the return of the stock markets at considerably lower risk. All rules and all details will be explained in this book, allowing anyone to replicate the strategies and research.

Andreas F. Clenow is the chief investment officer and partner of ACIES Asset Management, based in Zurich, Switzerland. Starting out as a successful IT entrepreneur in the 90s boom, he enjoyed a stellar career as global head of equity and commodity quant modeling for Reuters before leaving for the hedge fund world. Having founded and managed multiple hedge funds, Mr. Clenow is now overseeing asset management and trading across all asset classes. He is the author of best-selling and critically acclaimed book Following the Trend and can be reached via his popular website www.FollowingTheTrend.com.

286 pages, Kindle Edition

First published June 10, 2015

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About the author

Andreas Clenow

5 books34 followers
Growing up in a tiny Swedish town, Andreas has spent the past few decades in the Swiss high finance world. That journey involved IT startups, corporate management, garage band hedge funds, quant finance, proper hedge funds, private equity, family offices, and authoring some books.

He has written three international best sellers in the finance, non-fiction space - Following the Trend, Stocks on the Move, and Trading Evolved, and he is translated into eight languages.

With his upcoming work of fiction - a finance noir crime story set in the heart of Zurich, he hopes to finally be able to call himself a novelist.

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5 stars
156 (55%)
4 stars
87 (30%)
3 stars
29 (10%)
2 stars
6 (2%)
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3 (1%)
Displaying 1 - 20 of 20 reviews
Profile Image for Jairo Fraga.
273 reviews10 followers
April 19, 2022
A straight to the point book. The author does a good job on showing how a simple and timeless strategy can beat the market with not too much hassle.

Andreas shows a momentum strategy, that relies on checking the S&P 500 top 100 stocks, searching for a slope and R² of the fitting of the line to the chart, for seeking a 90-day momentum. It filters out 15% gap on past weeks, 200-day MA for the index and 100-day MA for the stocks, sorting them and using volatility-based position sizing.

There is a risk-adjusted benchmark, which is quite good. One part of the book that I think it's useless is the year-by-year analysis, but some may find it useful. It's basically to show the psychological problems that arise on real money portfolio management.

There are some interesting websites that continues the strategy benchmark and even improves it, showing that the original strategy still outperforms the S&P500 index for the period after the book was released.

One concern I have is related to fees/taxes, as the frequent rebalancing might incur in a loss of performance in a real world setting.

Estimated reading time: 2h30m.
August 30, 2020
Excellent Resource for Equity Portfolio Construction

Written by a seasoned professional, this book outlines a method to beat buy and hold sp500 for equities, but can really be applied to any basket of stocks. There is enough detail in this book for you to implement the calculations in Excel or Google sheets, which can act as a check against a more robust implementation in Python, C, or some other general programming language. There's an interesting chapter on random portfolios and how fifty randomly picked portfolios beat the sp500. No detailed analysis was done, but from a graph of returns vs risk, I suspect a random handful of stocks will have a higher beta than one, and over a long period, when the market rises, higher beta portfolios will win. This leads me to wonder how much of the momentum strategy is due to beta and how much is real alpha. Shorting against a beta adjusted sp500 index in a backtest will provide the answer. Unfortunately, running a simulation is much harder than just generating a current portfolio - you will have to calculate total returns, adjusted with historical split and dividend data. You will also have to dig up historical sp500 components for inclusions and removals over time. Overall, one of the best books I've read on professional equity portfolio construction - highly recommended.
Profile Image for Terry Kim.
148 reviews10 followers
September 8, 2016
This book is a detailed breakdown of a fully functioning momentum based fund. Its very detailed and easy to understand. I particularly liked the year by year account of the fund, just to hear the struggles from a professional.

The strategy that is employed is systemic, mathematical and rather simple. Although this is a solid strategy to apply to stocks, I find it that it isn't something for me as you 1) require a decent size of capital, 2) play the long term game (10 year +?), 3) systemic/quant approach. However interesting book to learn something from.
Profile Image for utkal.
6 reviews
May 9, 2020
I have always considered Clenow as the master of momentum investing. What I liked about this book the most is the use of exponential regression to measure momentum against the amateur approach of using ROC. Clenow goes a step further to calculate regression fit as a risk management tool and employs risk parity position sizing. Personally I have modified the 200day MA on the index to 75day MA exit in my backtest which reduced the drawdowns drastically. This is a must read book for any quant enthusiast.
Profile Image for Jodie.
55 reviews1 follower
July 1, 2018
Best practical momentum trading book

The author goes to great lengths to simplify and give the reader actionable steps and a practical system they can implement. Of course, like any good teacher it’s not about what he gives us, it’s about understanding the why.

What’s the main point of this book - risk management and momentum strategies have an edge.
1 review
June 14, 2020
Mind blowing

The concept makes perfect sense! Literally I have read this book in a week following the concept and working on my own implementation of the ranking model using data from Alpha Vantage. I’ve just started buying some stocks but alas the index is gone down MA 200 this week!! Great opportunity to test the strategy and my determination to stick with it! Thanks!!
17 reviews4 followers
May 14, 2021
With Stocks on the move, Clenow wrote a book so really everyone is able to understand momentum strategies, risk allocation and how to get started. I really like its simplicity and how accessible it is made. What I don't like though, are some technical details about the book itself. Some Chapter references, image names etc are missing, which makes it harder to read at some point.

But all in all it's a nice book, with easy-to-understand content and a rock-solid investment strategy.
Profile Image for Akhil Jain.
477 reviews32 followers
February 10, 2020
Reco by my trader mentor- Jagan
My fav quotes (not a review):
-Page 12 |
"Here’s the simple explanation. Start with the index at 100. The first day, the index drops by 10%. Now the index is at 100, the short ETF is at 110 and the double short at 120. Great for the short ETFs. The next day, the index moves back to 100, gaining 11%. Would you expect your short ETFs to be back to where they started? The short ETF, losing 11% of 110, is down to 97.8. The double short loses 22% of 120, down to 93.3."
-Page 44 |
"A trailing stop will be used, as is common with trend following models."
-Page 70 |
"It’s an approach usually referred to as risk parity allocation. By looking at the volatility of each stock, we can scale each position size according to that. The idea is to buy smaller positions of volatile stocks, so that each stock has an equal theoretical ability to impact the bottom line of the portfolio."
10 reviews2 followers
May 9, 2020
Great book - goes over the construction of a single name stock momentum strategy. Goes over the thought process involved for each parameter, construction of the entire strategy as well as results and review process.
Profile Image for Jacob.
14 reviews
July 7, 2015
I am a big fan of Andreas' previous book Following the Trend: Diversified Managed Futures Trading. He didnot fail us by writing the new book on equity momentum trading.

In this book, he gave the full details of a momentum trading strategy which covers the concept, system, execution and eloborate a lot on how we do ranking, risk parity position sizing, weekly portfolio rebalancing and so on.

It will be better if he can lay out more on the stats of the strategy, win rate, w/l ratio and others. But I think he suppose us to be able recreate the backtesting following his instructions.

Well done, Andreas!
3 reviews
January 10, 2017
Great buy, great read, an great book like his previous one!

I have read his previous book as well. I just would buy any books by him. Quality of the writing is high, his method of explaining is great, and approach is quite logical, last but not the least, investing is not without risk, walk through on the path with risk to be experienced. All these factors make this book a complete
Profile Image for Raj Rajkumar.
21 reviews5 followers
June 19, 2015
Andreas has done it again! 'Stocks on the Move' does for equity momentum strategies what his classic 'Following the Trend' did for managed futures -- remove the shroud of secrecy and show how these investment strategies really work.
Profile Image for Tadas Talaikis.
Author 7 books65 followers
June 24, 2016
MA filters are terrible and they're ceasing to work (in backtests though they do), but presented strategy can be improved.
12 reviews3 followers
May 26, 2020
Simple Strategy for Stock Market with Back tested results
Also provides annual performance and explanation of the strategy which is useful
1 review
December 18, 2020
Looks like its work

I will do some back test to be sure, looks like the money management is the key $ $ $
Profile Image for Jevgenij.
402 reviews5 followers
November 11, 2021
The strategy makes sense, also it's described in fine detail, something that many similar books are lacking. I think selling rules could be improved, but in general, a useful read.
Displaying 1 - 20 of 20 reviews

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