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Detail for Portfolios Formed on Operating Profitability

Daily Returns:   July 1, 1963 - July 31, 2020
Monthly Returns:   July 1963 - July 2020
Annual Returns:   1964 - 2019
Portfolios:   Operating Profitability bottom 30%, middle 40%, top 30%; quintiles; deciles.
Construction:   The portfolios are formed on profitability (OP) at the end of each June using NYSE breakpoints. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in t-1.
    Please be aware that some of the value-weight averages of operating profitability for deciles 1 and 10 are extreme. These are driven by extraordinary values of OP for individual firms. We have spot checked the accounting data that produce the extraordinary values and all the numbers we examined accurately reflect the data in the firm's accounting statements.
Stocks:   All NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t, (positive) book equity data for t-1, non-missing revenues data for t-1, and non-missing data for at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.






Copyright Kenneth R. French