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Description of 6 Portfolios Formed on Size and Investment for Developed Markets

Daily Returns:

 

July 1, 1990–June 30, 2016

 

 

 

Monthly Returns:

 

July 1990–March 2017

 

 

 

Annual Returns:

 

1991–2016

 

 

 

Construction:

 

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 global portfolios use global size breaks, but we use Inv breakpoints for each region to allocate the region's stocks to the global portfolios. Similarly, the global ex us portfolios use global 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).

 

 

 

Stocks:

 

The portfolios for July of year t to June of t+1 include all stocks for which we have market equity data for June of t and total assets data for t-2 and t-1.

 

Country Global Global ex US Europe Japan Asia Pacific ex Japan North America
 Australia      
 Austria      
 Belgium      
 Canada      
 Switzerland      
 Germany      
 Denmark      
 Spain      
 Finland      
 France      
 Great Britain      
 Greece      
 Hong Kong      
 Ireland      
 Italy      
 Japan      
 Netherlands      
 Norway      
 New Zealand      
 Portugal      
 Sweden      
 Singapore      
 United States