How much survives long-only.
| The factor | Long leg keeps | Lives on the short |
|---|
| Size . small over large | 95 pct | 5 pct |
| Value . cheap over dear | 60 pct | 40 pct |
| Momentum . winners over losers | 50 pct | 50 pct |
Same word, three different trips. Size travels long-only almost intact. Momentum leaves half its premium on the short side a plain fund can never touch. The factor you read about is not always the factor you can buy.
Why the short side is off limits . a mutual fund or smart-beta index fund cannot meaningfully short the expensive, the large, the recent losers. The academic premium shorts exactly those. So you own the long leg, and whatever it keeps still arrives wrapped in full market beta . the index, plus a tilt. Source . Israel and Moskowitz 2013 . long-leg shares illustrative.