Anomaly Graveyard

Canonical equity factor anomalies, measured pre- and post-publication. Published factors attract capital that arbitrages away their returns — the McLean-Pontiff (2016) effect. All data from the Kenneth French Data Library. No licensed data required.

Pre-pub Sharpe — annualized Sharpe in the original authors' samplePost-pub Sharpe — live performance since publication year
✓ alive≥ 0.5 post-pub Sharpe
⚠ weakened0.2 – 0.5
↓ faded0 – 0.2
✗ dead≤ 0
Market
⚠ weakenedMkt-RF

Sharpe (1964), Lintner (1965)

Publication

1964

The equity risk premium — excess return of the market over the risk-free rate. The oldest and most fundamental factor, first formalized in the CAPM. Investors are compensated for bearing undiversifiable market risk.

Pre-pub Sharpe (1926–1963)

0.474

Post-pub Sharpe (1964–2026)

0.444

Sharpe decay

+6.3%

Post-pub return

+7.2% p.a.

Cumulative return (last 40 years, monthly)

1986-012026-04
Size (SMB)
✗ deadSMB

Banz (1981); Fama & French (1992)

Publication

1981

Small-minus-big: small-cap stocks historically earned higher returns than large-caps. Documented by Banz (1981) using 1926–1975 data. The premium has largely disappeared after publication, consistent with the McLean-Pontiff (2016) decay hypothesis.

Pre-pub Sharpe (1926–1980)

0.198

Post-pub Sharpe (1981–2026)

-0.017

Sharpe decay

+108.6%

Post-pub return

-0.2% p.a.

Cumulative return (last 40 years, monthly)

1986-012026-04
Value (HML)
⚠ weakenedHML

Fama & French (1992, 1993)

Publication

1992

High-minus-low book-to-market: value stocks (high B/M) outperformed growth stocks. Core to the Fama-French three-factor model. The premium has significantly weakened post-publication, particularly over 2007–2020, though debate continues about whether the anomaly is risk or mispricing.

Pre-pub Sharpe (1926–1991)

0.465

Post-pub Sharpe (1992–2026)

0.254

Sharpe decay

+45.4%

Post-pub return

+2.9% p.a.

Cumulative return (last 40 years, monthly)

1986-012026-04
Momentum (Mom)
⚠ weakenedMom

Jegadeesh & Titman (1993)

Publication

1993

Past 12-month winners continue to outperform past losers over the next 3–12 months. One of the most robust anomalies across asset classes and geographies, yet also the most crash-prone: the strategy lost ~50% during the 2009 reversal. The premium persists post-publication but at reduced magnitude.

Pre-pub Sharpe (1927–1992)

0.631

Post-pub Sharpe (1993–2026)

0.376

Sharpe decay

+40.4%

Post-pub return

+5.8% p.a.

Cumulative return (last 40 years, monthly)

1986-012026-04
Profitability (RMW)
⚠ weakenedRMW

Fama & French (2015); Novy-Marx (2013)

Publication

2015

Robust-minus-weak operating profitability: more profitable firms earn higher returns. The economic intuition aligns with both risk (profitable firms are harder to distress) and mispricing (investors underweight cash flow quality). Relatively recent publication; the post-publication sample is short.

Pre-pub Sharpe (1963–2014)

0.558

Post-pub Sharpe (2015–2026)

0.292

Sharpe decay

+47.7%

Post-pub return

+2.5% p.a.

Cumulative return (last 40 years, monthly)

1986-012026-04
Investment (CMA)
✗ deadCMA

Fama & French (2015); Titman, Wei & Xie (2004)

Publication

2015

Conservative-minus-aggressive investment: firms that invest conservatively outperform aggressive investors. Related to the q-factor model (Hou, Xue & Zhang 2015). The premium is theoretically motivated by the investment-value relationship in production-based asset pricing models.

Pre-pub Sharpe (1963–2014)

0.685

Post-pub Sharpe (2015–2026)

-0.157

Sharpe decay

+122.9%

Post-pub return

-1.2% p.a.

Cumulative return (last 40 years, monthly)

1986-012026-04

Source: Kenneth French Data Library — freely available for academic use.

Sharpe ratio: annualized mean daily return divided by annualized daily vol. Pre-publication period ends the year before the paper appeared.

Data last refreshed: June 15, 2026.

Not financial advice. Factor returns are gross of transaction costs, taxes, and capacity constraints. Past factor performance does not guarantee future results.