

Detail for 25
Portfolios Formed Monthly on Size and Momentum
Monthly
Returns: 

January 1927 July 2020 



Annual
Returns: 

19272019 



Construction: 

The
portfolios, which are constructed monthly, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on prior
(212) return. The monthly size breakpoints are the NYSE market equity
quintiles. The monthly prior (212) return breakpoints are NYSE quintiles. 



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 in the monthly
returns (formed at the end of month t1), a stock must have a price for the
end of month t13 and a good return for t2. In addition, any missing returns
from t12 to t3 must be 99.0, CRSP's code for a missing price. Each
included stock also must have ME for the end of month t1. 
