Allianz Global Investors GmbH  case study

A holistic approach to avoiding the hidden risks of factor investing

Published by : Allianz Global Investors GmbH

For many, factor-based smart beta investing
strategies have emerged as an attractive solution,
building on abundant academic research showing
that equity portfolios based on factors deliver
returns that beat the market over a long-term
horizon.


However, factor-based portfolios also contain
hidden risks that may cause results to fall short of
investors' needs and expectations. To identify and
quantify these risks, we developed a new research
method, which we call "Time to Outperformance"
(TTO).

Published:14 June 2017

Business Area: Portfolio Management

Type: Portable Document Format (.pdf)

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