Using a four-factor model the authors generate alphas and factor loadings for a set of stock market indexes. Indexes are essentially unmanaged portfolios; therefore their alphas should be insignificant. Since unmanaged indexes do not follow any particular momentum strategy, factor loadings for...

The Carhart four-factor model is the most widely used risk adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...

The Carhart four-factor model is the most widely used risk-adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...