A stock analyst downloads all historical stock returns for NYSE and NASDAQ stocksfrom 1950 to 2020 and does the following analysis . First , she drops penny stockswith stock prices lower than $ 1 and firms with negative book-to-market ratiosbecause these stocks have very unpredictable returns . Second , she sorts the stocksinto three tertiles by past one-year returns-that is , the top 33% stocks with thehighest past one-year returns are put into the " high " portfolio , and the bottom 33%stocks with the lowest past one-year returns are put into the " low " portfolio . Thirdshe tracks the portfolio performance after portfolio formation and concludes thatthe " high portfolio gives much higher returns than the " low " portfolio from 1950 to2020 . The analyst's finding is essentially the effect

Momentum Value Short-term ReversaSize