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Detail for 17 Industry Portfolios

Daily Returns:   July 1, 1926-October 31, 2017
Monthly Returns:   July 1926-October 2017
Annual Returns:   1927-2016
Portfolios:   Download industry definitions
Construction:   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.





Copyright Kenneth R. French