I am currently conducting a performance analysis, where I use the 3-, 4-, and 5-factor models, hence
$R_{it}-R_{Ft}=\alpha+b_{i}RMRF+s_{i}SMB+h_{i}HML$
$R_{it}-R_{Ft}=\alpha+b_{i}RMRF+s_{i}SMB+h_{i}HML+w_{i}WML$
$R_{it}-R_{Ft}=\alpha+b_{i}RMRF+s_{i}SMB+h_{i}HML+r_{i}RMW+c_{i}CMA$
where $WML$ is the Fama/French/Carhart momentum factor.
I download the factor returns from Kenneth French's webpage, but I am unsure as to whether I should use the three-factor $SMB$ or the five-factor $SMB$ when using the three-, and four-factor model. Does anyone have an idea?
What are the pros and cons of both factors?