Identifying the factors in the equity market that drive returns and understanding the sensitivity of a portfolio to factor movements are extremely important for portfolio construction and risk management. If robust optimization has a significant impact on a portfolio's factor exposure, one cannot simply update the original portfolio to its robust counterpart without fully recognizing the new risk exposures. This chapter discusses the central topics related to the factor exposures of robust portfolios, including the importance of portfolio factor exposure for managing risk, common factors in the equity market, and theoretical argument that increasing portfolio robustness leads to higher factor exposures. It also discusses the empirical findings on the higher factor dependency of robust portfolios compared to classical mean‐variance portfolios. There are several approaches for identifying the factors of a factor model. One of the most straightforward approaches is to use macroeconomic variables for explaining movements in the equity market.