Is there a reason or some reference somewhere why the Fama/French Momentum Factors (WML) were discontinued at June 30, 2016, see e.g. here:


1 Answer 1


To preface, just a minor quibble: French still tracks the momentum anomaly elsewhere on his library, under "Sorts involving Prior Returns"; it's just no longer part of the core FF framework for invalidating the mean-variance-covariance optimized portfolio implied by the CAPM.

Originally, Fama-French (FF) developed a three-factor model to invalidate the single factor Capital Asset Pricing Model (CAPM). CAPM implies that a mean-covariance optimized portfolio determines the optimal risk-adjusted weightings for the market portfolio. If the market is efficient, then the market portfolio's weights are reflexively the optimal weights. Although FF does not question the premise of market efficiency, it simply shows that efficient portfolios cannot possibly be those implied by CAPM. More recently, Stochastic Portfolio Theory (SPT), which converges with continuous optimal Kelly under certain special cases, also shows that market weights cannot possibly be the optimal mix with some light assumptions.

Carhart added a fourth factor for momentum which, while statistically significant, did not fit into Fama-French framework for invalidating the CAPM. Momentum is perhaps the most vexing market anomaly because it exists, but normative models for rational agent behavior cannot explain why it exists. Behavioral economics is just beginning to uncover the nexus of human irrationality which causes people to "buy higher" and "sell lower" -- presumably the roots for the momentum phenomenon.

Carhart's Momentum was once part of the FF framework, but it proved problematic for the efficient market hypothesis (EMH). If momentum is actually real, then it indicates the presence of a return spread which is not related to trading risk or cost -- it looks like a classical free lunch. Since FF does not question the EMH, momentum has been abandoned in favor of the more explicable RMW (return spread of the most profitable firms minus the least profitable) and CMA (return spread of firms that invest conservatively minus aggressively) anomalies.

Perhaps notable is that Cliff Asness’ firm, AQR, adds back a sixth factor for momentum.

  • $\begingroup$ How is this answer different from mine, other than longer? $\endgroup$
    – fni
    Commented Apr 3, 2017 at 9:19
  • $\begingroup$ @fnic sorry, should've been more specific. We agreed on the fact that momentum is a problem for EMF, thus a problem for FF. However, the attribution to cost and laziness is unsubstantiated; Ken French still publishes momentum and mean reversion factors on his site. $\endgroup$ Commented Apr 3, 2017 at 21:22

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