All returns are in U.S. dollars, include dividends and
capital gains, and are not continuously compounded. We sort stocks in a
region into two market cap and three Investment (Inv) groups at
the end of June of each year t.
Big stocks are those in the top 90% of June market cap for the region, and
small stocks are those in the bottom 10%. The Inv breakpoints for big and
small stocks in a region are the 30th and 70th percentiles of Inv for the
big stocks of the region.
The developed portfolios use developed size breaks, but we use Inv breakpoints
for each region to allocate the region's stocks to the developed portfolios.
Similarly, the developed ex us portfolios use developed ex us size breaks and regional Inv breakpoints.
The independent 2x3 sorts on size and Inv produce six value-weight
portfolios, SA, SN, SC, BA, BN, and BC, where S and B indicate small or big
and A, N, and C indicate conservative (low Inv), neutral, and aggressive (high Inv).