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Detail for 32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability

Monthly Returns:   July 1963 -June 2017
     
Annual Returns:   1964 - 2016
     
Construction:   The portfolios, which are constructed at the end of each June, are allocated to two Size groups (Small and Big) using NYSE median market cap breakpoint. Stocks in each Size group are allocated independently to four B/M groups (low B/M to High B/M for fiscal year t-1) and four OP groups (Low OP to High OP for fiscal year t-1) using NYSE quartile breakpoints specific to the Size group. BE/ME for June of year t is the book equity for the last fiscal year end in t-1 divided by ME for December of t-1. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in t-1.
     
Stocks:   The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t, (positive) book equity data for t-1, non-missing revenues data for t-1, and non-missing data for at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.

 

 

 

 

Copyright Kenneth R. French