A new study from Dimensional Fund Advisors concludes that fund managers “can’t find a way to profit” from the momentum factor, according to an article in Institutional Investor.

The study, which evaluated 11 U.S. momentum-style equity funds with at least three years of history, found that the “majority of these portfolios weren’t able to deliver above-market return for investors after fees.” The oldest fund dated back to 2003, and the study found that while most of the fund managers were able to capitalize on the momentum premium, returns were offset by trading costs.

Marlena Lee, co-head of research at Dimensional, stated, “I think the research is just a good example of why investors should look at live performance when they can, and not base investment decisions on simulated performance,” noting that back-tests don’t account for transactions costs.

Although there is a lot of talk in the markets about which factors—value, growth, or size, for example—should be targeted, Lee suggests investors “should be thinking about long-term factors compared with short-term ones.” She explained that, although momentum-style funds aren’t working, the information in the momentum premium can be used when buying and selling stocks.