of momentum profitability arises primarily from a carryover of the return reversal from the previous two months. …

the four HXZ factors, namely size, profitability, and investment, cannot be explained by the five FF factors; (4) the best … profitability factor; (5) the maximum Sharpe ratio is achieved by investing about 5% in the market factor, 20% in the value factor …, and roughly the same percentage in the size and profitability factors. The findings are consistent in the three time …

enhanced in a way that not only survives common risk adjustments but also maintains profitability after trading costs. For our …