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  Detail for 6 Portfolios Formed on Size and Cashflow/Price

Monthly Returns:   July 1951 - July 2021
Annual Returns:   1952 - 2020
Construction:   The portfolios, which are constructed at the end of each June, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on Cashflow/Price (CFP). The size breakpoint for year t is the median NYSE market equity at the end of June of year t. The cashflow used in June of year t is total earnings before extraordinary items, plus equity's share of depreciation, plus deferred taxes (if available) for the last fiscal year end in t-1. P (actually ME) is price times shares outstanding at the end of December of t-1. The CFP breakpoints are the 30th and 70th NYSE percentiles.
The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t-1 and June of t, and cashflow for calendar year t-1. Firms with negative or zero cashflow are excluded.