The Small-Minus-Big portfolio, SMB, consists of a long position in the market’s 50 % smallest firms by market cap (small) and a short position in the market’s 50 % largest firms (big)
The Small-Minus-Big portfolio, SMB, consists of a long position in the market’s 50 % smallest firms by market cap (small) and a short position in the market’s 50 % largest firms (big). Based on the past 20 years of monthly returns, an analyst finds that stock X has a SMB factor loading (beta) of 0.5. Which […]