Dr. Matthias Hanauer with a Lecture "Factor Zoo (.zip)" at the Faculty of Economic Sciences

Dr. Matthias Hanauer, a researcher at the Technical University of Munich (TUM) and Executive Director of Quantitative Research at Robeco company, will present his study titled „Factor Zoo (.zip)”. The lecture will be part of the seminar series organized by the QFRG and DSLab research centers. We invite you to attend on April 14, 2025, at 17:30 in Room B002 (Faculty of Economic Sciences).

For those unable to attend in person, online participation is also encouraged via the Zoom platform (please log in by 17:25).

Link to the meeting: https://uw-edu-pl.zoom.us/j/93886973103?pwd=2S2L5mY29vEPl3VGAasjTQlB1iwMHu.1

[Metting ID: 938 8697 3103
Pascode: 716724]

The presentation is scheduled to last approximately 45 minutes, followed by a discussion.

Below, we present an abstract of the presentation.

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The number of factors allegedly driving the cross-section of stock returns has grown steadily over time. We explore how much this ‘factor zoo’ can be compressed, focusing on explaining the available alpha rather than the covariance matrix of factor returns. Our findings indicate that about 15 factors are enough to span the entire factor zoo. This evidence suggests that many factors are redundant but also that merely using a handful of factors, as in common asset pricing models, is insufficient. While the selected factor styles remain persistent, the specific style representatives vary over time, underscoring the importance of continuous factor innovation.