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Detail
for 12 Industry Portfolios
| Daily Returns: |
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July 1, 1963-December 31, 2007 |
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| Monthly Returns: |
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July 1926-December 2007 |
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| Annual Returns: |
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1927-2007 |
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| Portfolios: |
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Download
industry definitions |
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| Construction: |
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We
assign each NYSE, AMEX, and NASDAQ stock to an industry portfolio at the end of
June of year t based on its four-digit SIC code at that time. (We use Compustat
SIC codes for the fiscal year ending in calendar year t-1. Whenever Compustat
SIC codes are not available, we use CRSP SIC codes for June of year t.) We then
compute returns from July of t to June of t+1. |
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