

Detail
for Portfolios Formed Monthly on Variance(Residuals)

Monthly Returns: 

July 1963  August 2023 



Annual Returns: 

1964  2022 



Portfolios: 

Variance of daily returns (Var)
quintiles; deciles.




Construction: 

The portfolios are formed monthly on the variance of the residuals from the FF threefactor model (RVar) using
NYSE breakpoints. RVar is estimated using 60 days (minimum 20) of lagged returns. 



Stocks: 

The portfolios for month t (formed at the end of month t1), include NYSE, AMEX, and NASDAQ stocks
with ME for the end of month t1 and nonmissing variance of daily returns. 
