We show that investors treat individual stocks as weak substitutes, and that this weak substitutability explains the existence of the “factor zoo” in expected stock returns. In classical asset-pricing models, substitutability is strong: when relative expected returns change, investors readily reallocate across assets that covary. In this case, there would be no factor zoo: differences in expected returns would be explained by the few factors that drive most covariance across stocks. In contrast, we show that substitutability is empirically weak in investor holdings data. We demonstrate that this weak substitutability gives rise to the factor zoo: expected returns depend on many factors, including those that drive little covariance across stocks.