One of the reasons mutual funds have trouble outperforming their benchmark is because they secretly don't even want to. If they constructed a portfolio with low

One of the reasons mutual funds have trouble outperforming their benchmark is because they secretly don't even want to. If they constructed a portfolio with low market exposure, they might lose money when the S&P 500 is up, a sticky situation to explain to clients. If, however, they just match the S&P 500 secretly, then when they're down, no one blames them because the market is also down as well. Finance is dominated by perverse and misaligned incentives between clients and money managers that result in the managers playing the meta-game instead of just focusing on delivering alpha. Perhaps with the advent of ETFs, mutual fund have become even more risk adverse, delivering just pure beta, and that's why we no longer see a momentum effect? Or perhaps new information is more quickly incorporated into the price of a stock than in the 80s, resulting in shorter periods of momentum?