In order to explain systematic risk we use risk factors and I've learned that since they try to explain 'systematic' risk, risk factors are relatively well-known. However, what happens if the risk factors I got from PCA (Statistical Risk Model) turn out to be really different from other PM's risk factors who also used PCA to get risk factors.
Depending on which data to use, and for which period to analyze, it seems likely to have different risk factors according to individual PM.
It seems that if different risk factors try to capture the same concept 'systematic risk', it no longer captures systematic risk anymore since they use 'different' factors.
Is there any part I misunderstand?