Despite the weak theoretical assumptions needed to guarantee the existence of a factor model that prices the cross-section of stock returns we show in a meta-analysis of fifteen state-of-the-art models that none of these models can price the mean-variance efficient portfolio of the other fourteen. No one model effectively describes the cross-section of US equities. Our results highlight the need to benchmark new factor models against each other, rather than anomaly portfolios or classic double sorted portfolios. When markets are incomplete, an infinite number of stochastic discount factors price assets, but empirically, we have yet to find just one. We refer to this as the \textit{factor model failure puzzle}. We present a theoretical model with many weak anomaly trading signals and show that slight methodological deviations lead to different factor models that result in different and flawed characterizations of the risk-return trade-off as observed empirically.