Different Lisp implementations have different ways to create programs. One of them is to dump the image of the Lisp system memory and write it to disk. On reboot, this image loads at runtime and then starts again. This is pretty common.
It also does SBCL when it saves the executable. Thus, this executable file includes the full SBCL.
Some other implementations create small executable files using images (CLISP), some of them can remove unused code from executable files (Allegro CL, LispWorks), while others create very small programs using compilation in C (mocl).
SBCL has only one simple way to reduce the size of the executable: you can compress the image.
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