One of the great advancements in finance was the development of factor risk premia measures beyond market beta. It completely changed investor thinking about the type of risks faced, the measurement of risk, and the potential causes of return.
The core work horse of the constantly growing number of risk premia is the Fama-French five: size - the spread between small and large stocks (SMB), value - the spread between cheap and expensive stocks (HML), momentum - the spread between strong and weak past returns (MOM), the spread in profitability (RMW), and the spread between firms that invest conservatively and aggressively (CMA). These are viewed as time varying and are related to the business cycle. The excess returns associated with each may rise and fall and even turn negative, but these factors represent core risks that will be compensated in the long run.
However, over the last few years the return spread between risk premia have closed and all have moved closer to zero. Because of greater knowledge of premia, larger flows, and changes in behavior, the Fama-French core risk premia don't see to provide insights or explanation of current stock behavior. Those investors who have focused on these core premia have been disappointed in return performance. The investment world waits for either a return to normalcy or a new paradigm. There is no easy money to be made through following well-established wisdom in a world that is in transition.
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