[Verse 1] CAPM told us beta's tale, one factor ruled the game Market risk premium, systematic pain But scholars noticed gaps emerging in the data streams Single factor couldn't capture all investing dreams Eugene Fama stepped forward with his partner Kenneth French Built a model with three pillars, made the mystery quench [Chorus] Market, Size, and Value - three factors tell the story SMB and HML dancing with the market's glory Small caps beat the giants, value trumps the growth parade Multi-factor modeling shows how excess returns are made Market, Size, and Value - memorize this holy trinity Three dimensions paint the canvas of security [Verse 2] First factor stays familiar - market risk we've known before Beta measures correlation like it did in days of yore Second factor catches something CAPM left behind Small cap stocks outperform large caps, size effect defined SMB means small minus big, the premium we observe When tiny companies deliver returns beyond the curve [Chorus] Market, Size, and Value - three factors tell the story SMB and HML dancing with the market's glory Small caps beat the giants, value trumps the growth parade Multi-factor modeling shows how excess returns are made Market, Size, and Value - memorize this holy trinity Three dimensions paint the canvas of security [Bridge] HML captures value's magic - high book-to-market wins Cheap stocks with solid substance, that's where alpha begins Book value over price reveals the diamonds in rough stone While glamour stocks seduce us, value quietly has grown [Verse 3] Three factor regression tells us what drives stock behavior Market beta, size exposure, value tilt as return's savior R-squared improves dramatically when we expand our view From single lens to triple prism, explanations break through Portfolio managers now dissect their sources of return Which factors fuel performance, which bridges they must burn [Chorus] Market, Size, and Value - three factors tell the story SMB and HML dancing with the market's glory Small caps beat the giants, value trumps the growth parade Multi-factor modeling shows how excess returns are made Market, Size, and Value - memorize this holy trinity Three dimensions paint the canvas of security [Outro] Beyond the single factor lies a richer, deeper truth Multi-dimensional thinking gives analysis more proof
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