Simply put, there is an investment premium for investing or tilting a portfolio to small companies and value companies.  All of investing comes down to a risk/reward story in which, for every degree of risk an investor takes on, the risk should be rewarded.  There is no such thing as a safe investment that carries also a high expected return!  Once this concept sinks in, you are ready to learn the right way to invest!  Equities are riskier than fixed income; therefore, the long term expected return is higher.  Small company stocks are riskier to own than large company stocks; therefore, the long term expected return is higher there also.  The same story goes for growth companies versus value companies, with the value companies being riskier and therefore, encompassing a higher long term expected return.