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Detail for 10 Portfolios Formed Monthly on Momentum

Monthly Returns:   January 1927-December 2015
     
Annual Returns:   1927-2015
     
Construction:   The portfolios are constructed monthly using NYSE prior (2-12) return decile breakpoints.
     
Stocks:   The portfolios constructed each month include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for month t (formed at the end of month t-1), a stock must have a price for the end of month t-13 and a good return for t-2. In addition, any missing returns from t-12 to t-3 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of month t-1.

 

 

Copyright Kenneth R. French