“…On average, we obtain the difference in mean returns of the six portfolios formed daily on size and momentum of only 2.6% during our sample period. Not only is this dataset standard in the asset pricing literature, as used by e.g., Fama and French (1993), Carhart (1997), Novy-Marx (2012), andDaniel et al (2017), but we also report the performances of our strategies in term of alpha, i.e., the return in addition to compensation for aggregated risk factors, and as a result, it is crucial that our data is similar to those used to compute these factors.…”