Using a large database of the US institutional investors’ trades, this paper revisits the question of anomalies-basedportfolio transaction costs. The real costs paid by large investors to implement the well-identified size, value, andmomentum anomalies are lower than what has been documented in the previous studies. We find that the averageinvestor pays an annual transaction cost of 17bps for size, 24bps for value, and 274bps for momentum. The threestrategies generate statistically significant returns of respectively 5.21%, 2.79% and 2.77% after accounting fortransaction costs. When the market impact is taken into account, transaction costs reduce substantially the profitabilityof the well-known anomalies for large portfolios, however, these anomalies remain profitable for average size portfolios.The break-even capacities in terms of fund size are $ 206 billion for size, $ 16.1 billion for value and $ 310 million formomentum.