Ding Liu works as Director of Quantitative Research, Private Wealth Management at AllianceBernstein (AB) and serves as co-Portfolio Manager of AB's Wealth Appreciation Strategy funds. He conducts quantitative research and analysis on investment strategy, asset allocation, and portfolio construction for AB’s Private Wealth Management business. He joined the firm in 2007. Prior to joining AB, he spent two years as a Quantitative Strategist at the Fixed-Income, Currency, and Commodities division of Goldman Sachs. Ding Liu holds a BS in Computer Science and Engineering from Tsinghua University and an MA and PhD in Computer Science from Princeton University. Ding Liu is a CFA Charterholder.
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.