

Detail for 6
Portfolios Formed Monthly on Size and Momentum
Monthly
Returns: 

January 1927  November 2021 



Annual
Returns: 

1927  2020 



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
(212) return. The monthly size breakpoint is the median NYSE market equity.
The monthly prior (212) return breakpoints are the 30^{th} and 70^{th}
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 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. 
