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Detail for 6 Portfolios Formed Monthly on Size and Momentum

Monthly Returns:   January 1927 - April 2016
     
Annual Returns:   1927 - 2015
     
Construction:   The portfolios, which are constructed monthly, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on prior (2-12) return. The monthly size breakpoint is the median NYSE market equity. The monthly prior (2-12) return breakpoints are the 30th and 70th NYSE percentiles.
     
   
     
Stocks:   The six 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