We show that the conventional procedure of risk adjustment by running full-sample time-series Fama–French three-factor regressions is not appropriate for momentum portfolios because the procedure fails to allow for the systematic dynamics of momentum portfolio factor loadings. We propose a simple procedure to adjust risks associated with the Fama–French three factors for momentum portfolios. Using our proposed method, the Fama–French three factors can explain approximately 40% of momentum profits generated by individual stocks and nearly all of momentum returns from style portfolios.