SMB Factor
Small-minus-Big, one of the Fama-French factor returns. Computed as the average return of small-cap-stock portfolios minus the average return of large-cap-stock portfolios over the same period. A firm's SMB loading (its beta on the SMB factor) measures how much of its return variation is explained by the size effect; a high SMB loading means the firm behaves like a small-cap stock and earns the size premium in expectation. The SMB premium has weakened materially on US large-cap samples since 2000 but persists on micro-caps and on size-quality interactions.
Lessons that use this term
Related terms
Active Management · Active Share · AI Revenue · Anchoring Bias · Cost of Capital · Creation Unit
Open this term in the app → — no account needed; browse the full glossary while you research.