Excess Returns
Navigating the Factor Zoo with Matthias Hanauer
Dec 8, 2023
Matthias Hanauer, factor investing researcher, discusses two of his research papers: 'Honey I Shrunk the Factor Zoo' and 'Resurrecting the Value Premium'. They also talk about the state of value investing and share interesting charts that provide context. The episode provides insights on approaching research topics, innovating in factor research, and the challenges faced by researchers. The performance of the value factor and the importance of past realized returns are also discussed.
46:25
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Quick takeaways
- The podcast episode discusses the process of compressing the factor zoo and enhancing the value factor through a composite approach and multiple valuation measures, highlighting the ongoing relevance and potential of value investing.
- Matthias Hanhauer presents research on the value premium and its resurrection, exploring the challenges faced by value investing, the impact of factors like size, intrinsic value, and cash-based operating profitability, and the potential for value investing to outperform over the long term.
Deep dives
Factors research and investment strategies
In this episode, the hosts welcome Matthias Hanhauer from Robeco to discuss his work on investment factors and the value premium. They explore the process of researching and identifying factors, the importance of economic motivation, and the challenges of data availability. They delve into the compression of the factor zoo and the enhancement of the value factor through additional metrics, risk management, and efficient use of breadth. The discussion also addresses the relationship between value and interest rates, as well as the performance of value stocks versus growth stocks during different market periods.
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