Many studies deal with the sustainability of performance, but few with their determinants. Which qualitative or quantitative factors, we should leave as long-suffering in the Institutional fund selection?
To address the above question, I establish robust results by comparing the performance of different fund portfolios formed based upon objective fund qualitative and quantitative fund performance factors, providing an economically meaningful measure of the magnitude of the relation between performance and attributes. The article has been recently quoted by the magazine of Institutional Money in Germany.
http://www.institutional-money.com/cms/magazin/uebersicht/artikel/die-fondsauswahl-welche-kriterien-stechen/?tx_ttnews[backPid]=15&cHash=9dea4ae647
About Me
- Dr. Junhua Lu
- Junhua Lu BSc, MSc (Fin), CFA, MCSE, PhD Quantitative portfolio strategist with expertise in a broad range of financial modelling and quantitative analysis techniques. Familiarity with a broad range of portfolio risk management and strategies, including portfolio optimization with higher moment, stress testing, back testing, and risk budgeting. Demonstrated ability to employ a variety of advanced econometric techniques to identify potential investment opportunities creatively. Extensive experience with such programming packages as MATLAB, C++, and VBA as well as use of such financial databases as Factset, Bloomberg, CRSP, Compustat, Lipper and Morningstar.
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