Curriculum Vitae
Working Papers
Data Library
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information

Detail for Portfolios Formed on Size

Daily Returns:   July 1, 1926 - May 31, 2024
Monthly Returns:   July 1926 - May 2024
Annual Returns:   1927 - 2023
Portfolios:   ME < 0 (not used); bottom 30%, middle 40%, top 30%; quintiles; deciles.
Construction:   The portfolios are constructed at the end of each June using the June market equity and NYSE breakpoints.
Stocks:   The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t.





Copyright Kenneth R. French