Home
Biography
Curriculum Vitae
Working Papers
Data Library
  U.S. Research Returns
  Benchmarks
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
  Detail for 6 Portfolios Formed on Size and Investment

Monthly Returns:   July 1963 -April 2017
     
Annual Returns:   1964 - 2016
     
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 investment (Inv). The size breakpoint for year t is the median NYSE market equity at the end of June of year t. Investment is the change in total assets from the fiscal year ending in year t-2 to the fiscal year ending in t-1, divided by t-2 total assets. The Inv breakpoints are the 30th and 70th NYSE percentiles.
     
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 and total assets data for t-2 and t-1.