Which of the following statements regarding the Fama-French three-factor model is NOT accurate? To form the second factor, Fama and French ranked all actively traded stocks by size and then divided them into two portfolios, one consisting of small stocks and one consisting of big stocks. As part of the second factor, Fama and French created a third portfolio called the SMB (small minus big) portfolio, which is designed to measure the variation in stock returns that is caused by the size effect. To form the third factor, Fama and French ranked all stocks according to their book-to-market (B/M) ratios. They placed the 35% of stocks with the highest ratios into a portfolio they called the H portfolio (for high B/M ratios) and placed the 35% of stocks with the lowest ratios into a portfolio called the L portfolio (for low B/M ratios). The first factor in the Fama-French three-factor model is the market risk premium, which is the market return, rM, minus the risk-free rate, rRF. As part of the third factor, Fama and Frank subtracted the return of the L portfolio from that of the H portfolio to derive the HML (high minus low) portfolio