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Factor Zoo (.zip)

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Factor Zoo (.zip). / Swade, Alexander; Hanauer, Matthias ; Lohre, Harald et al.
In: Journal of Portfolio Management, Vol. 55, No. 3, 24.11.2023, p. 11-31.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Swade, A, Hanauer, M, Lohre, H & Blitz, D 2023, 'Factor Zoo (.zip)', Journal of Portfolio Management, vol. 55, no. 3, pp. 11-31.

APA

Swade, A., Hanauer, M., Lohre, H., & Blitz, D. (2023). Factor Zoo (.zip). Journal of Portfolio Management, 55(3), 11-31.

Vancouver

Swade A, Hanauer M, Lohre H, Blitz D. Factor Zoo (.zip). Journal of Portfolio Management. 2023 Nov 24;55(3):11-31.

Author

Swade, Alexander ; Hanauer, Matthias ; Lohre, Harald et al. / Factor Zoo (.zip). In: Journal of Portfolio Management. 2023 ; Vol. 55, No. 3. pp. 11-31.

Bibtex

@article{770555e56f924333b5f4655d7fdf3da9,
title = "Factor Zoo (.zip)",
abstract = "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.",
author = "Alexander Swade and Matthias Hanauer and Harald Lohre and David Blitz",
year = "2023",
month = nov,
day = "24",
language = "English",
volume = "55",
pages = "11--31",
journal = "Journal of Portfolio Management",
issn = "0095-4918",
publisher = "Institutional Investor, Inc",
number = "3",

}

RIS

TY - JOUR

T1 - Factor Zoo (.zip)

AU - Swade, Alexander

AU - Hanauer, Matthias

AU - Lohre, Harald

AU - Blitz, David

PY - 2023/11/24

Y1 - 2023/11/24

N2 - 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.

AB - 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.

M3 - Journal article

VL - 55

SP - 11

EP - 31

JO - Journal of Portfolio Management

JF - Journal of Portfolio Management

SN - 0095-4918

IS - 3

ER -