Buying recent winners and shorting recent losers guarantees time-varying factor exposures in accordance with the performance of common risk factors during the ranking period. Adjusted for this dynamic risk exposure, momentum profits are remarkably stable across subperiods of the entire post-1926 era. Factor models can explain 95% of winner or loser return variability, but cannot explain their mean return components are more profitable than those based on total returns. Neither industry effects nor cross-sectional differences in expected returns are the primary cause of the momentum phenomenon. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.