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I propose choosing factors based on the maximum squared Sharpe ratio (Sh2) of the model. The model then provides a description of anomalies, but anomalies do not drive the choice of factors. I introduce a five-factor model of market, size, value, momentum, and profitability factors with a Sh2 of 0.316. The Sh2 is higher than competing models and mispricing is reduced for common anomalies. Value and momentum subsume the popular investment factor through their ability to forecast changes in book equity. The model struggles to price sorts on momentum and volatility. The model’s description of these anomalies, small, unprofitable stocks with poor recent returns, point to problems with firm size beyond illiquidity. In particular, I find that problems arise from the interaction of size, volatility, and value.