Fama-French Market And Momentum Equity Factors Surged In 2024
US stocks surged in 2024, but with no help from the small-cap and value risk factors
By James Picerno | The Milwaukee Company | jpicerno@themilwaukeecompany.com
The US stock market roared higher again in 2024, but it wasn't due to the size or value equity risk factors, according to Dartmouth University Professor Ken French’s data library.
The US equity market premium surged 19.8% last year via daily data. By contrast, the size and value premia lost 7.9% and 7.2%, respectively, in 2024. The Fama-French 3 Factor Model (FF3), in short, delivered mixed results during what was a strong year for stocks generally.
The momentum factor (an additional factor that helps “explain” US stock market performance) modestly outperformed the market premium, gaining 20.7% last year, slightly above the broad market premium’s 19.8% return. The risk-free asset (1-month Treasury bill) rose 5.2% in 2024.
The one-year performance chart for 2024 for the market (Mkt-RF) and momentum (Mom) factors highlight an upside trend. Ditto for the risk-free asset (RF). By contrast, the size (SMB) and value (HML) risk premia declined.
Keep in mind that Fama-French factors, although widely studied, are used primarily for backtesting and academic research and so they don’t necessarily reflect real-world results for portfolios targeting US equity factors.
Meanwhile, a set of factor ETFs targeting a more granular profile of risk premia reflect across-the-board gains for the trailing 1-year period through Jan. 28, 2025. Large-cap growth (IVW) led the field with a strong 33.5% total return over the past year.
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