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  Detail for 6 Portfolios Formed on Size and Operating Profitability

Monthly Returns:   July 1963 -March 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 profitability (OP). The size breakpoint for year t is the median NYSE market equity at the end of June of year t. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in t-1. The OP 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, (positive) book equity data for t-1, non-missing revenues data for t-1, and non-missing data for at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.