Navigating the Factor Zoo with Matthias Hanauer
Excess ReturnsDecember 08, 202300:46:26

Navigating the Factor Zoo with Matthias Hanauer

In this episode, we talk factor investing with Robeco's Matthias Hanauer. Matthias has written some excellent research papers on a variety of factor investing topics and we dig into the details behind two of our favorites: "Honey I Shrunk the Factor Zoo", and "Resurrecting the Value Premium." We also discuss the state of value investing in general and look at some interesting charts Matthias put together that put the current situation in value in context.

#valueinvesting #factorinvesting

00:00 - Intro
02:40 - How Matthias identifies areas for his research
05:05 - The key characteristics of a good investing factor
07:16 - Honey I Shrunk the Factor Zoo
08:45 - Improving Upon Published Factors
11:15 - Testing factors with limited history
12:23 - Equal-weighted vs. value-weighted factors
14:17 - Compressing the factor universe
19:00 - Fama and French and the value factor
22:44 - Improving the value factor
25:43 - The widespread use of Price/Book
27:01 - Sector risk management
28:02 - Making more efficient use of breadth
30:01 Resurrecting the value premium
34:48 - Is value investing dead?
36:10 - Value spread vs. value return
37:34 - Factor timing
39:17 - The relationship between value returns and interest rates
41:14 - The 2023 performance of value and the impact of size
43:59 - The one lesson Matthias would teach the average investor

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