Frontmatter -- Contents -- Streetwise -- Introduction -- PART ONE: Market Behavior -- Challenge to Judgment (Fall 1974) -- The Dividend Puzzle (Winter 1976) -- The Capital Asset Pricing Model and the Market Model (Winter 1981) -- Factors in New York Stock Exchange Security Returns, 1931-1979...

Past industry returns predict the cross section of industry returns, and this predictability is at its strongest at the one-month horizon (Moskowitz and Grinblatt 1999). We show that the cross section of factor returns shares this property, and that industry momentum stems from factor momentum....

Value investing, as defined by the Fama–French HML factor, has underperformed growth investing since 2007, producing a drawdown of 55% as of mid-2020. The underperformance leads many to argue that value is dead. Our analysis attributes value's recent underperformance to two sources: the HML...

Institutional investors often sell funds (or fire managers) once they have underperformed the market over the last two to three years, typically replacing them with funds or managers that recently outperformed. This seemingly sensible strategy, intended to identify skilled managers, is often bad...

On paper, momentum is one of the most compelling factors: simulated portfolios based on momentum add remarkable value, in most time periods and in most asset classes, all over the world. So, our title may seem unduly provocative. However, live results for mutual funds that take on a momentum...

Factor investing has failed to live up to its many promises. Its success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of data mining, crowding, unrealistic trading cost...