The FMA survey notes that what began as academic anomalies became the raw materials for systematic strategies. The key insight? These weren't "alpha" (skill-based returns); they were systematic risk premiums or behavioral inefficiencies that could be captured mechanically.

Why do these factors continue to provide excess returns? Ang outlines two primary academic theories:

While the systematic approach is generally passive to factors, the FMA synthesis acknowledges that some timing signals have statistical edge:

If factors are known, why don't they disappear? The FMA argues that behavioral factors (Momentum) are persistent because human psychology (herding, overconfidence) doesn't change. Risk-based factors (Value, Size) persist because the risks—bankruptcy, distress—are real and uncomfortable.

To successfully harvest these premiums, an investor must identify their own "bad times" and exploit the difference between their personal risk tolerance and that of the "average" investor. Diversification:

Asset Management- A Systematic Approach To Factor Investing -financial Management Association Survey And Synthesis- Jun 2026

Why do these factors continue to provide excess returns? Ang outlines two primary academic theories: The FMA survey notes that what began as

While the systematic approach is generally passive to factors, the FMA synthesis acknowledges that some timing signals have statistical edge: Why do these factors continue to provide excess returns