For many characteristics, like book-to-market, the persistence of return predictability does not match the persistence of the characteristic. Consequently, large alphas exist between new and old sorts, where new (old) sorts capture the return of a characteristic-sorted portfolio immediately (longer) after formation. These alphas (i) translate into large improvements in Sharpe ratio, (ii) are not captured by benchmark asset pricing models, and (iii) are linked to the return differential between new and old stocks. Since portfolios of new and old stocks are characteristic-neutral, we conclude that explanations of the cross-section based on recent observations of characteristics (and factors derived therefrom) are incomplete..