Size (SMB)

✗ dead

Size· Price data

Small-minus-big: small-cap stocks historically earned higher returns than large-caps. Documented by Banz (1981) using 1926–1975 data. The premium has largely disappeared after publication, consistent with the McLean-Pontiff (2016) decay hypothesis.

IS Sharpe (1926–1980)

0.198

+1.9% p.a.

OOS Sharpe (1981–2026)

-0.017

-0.2% p.a.

Sharpe decay

+108.6%

(IS − OOS) / |IS|

IS vol

9.4%

annualized

Cumulative return (last 40 years, monthly)

-10%

1986-012026-04

Publication details

PaperBanz (1981); Fama & French (1992)

JournalJournal of Finance

Publication year1981

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