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Construction:
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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 lagged momentum return groups at the
end of each month t.
Big stocks are those in the top 90% of market cap for the region, and small
stocks are those in the bottom 10%. For portfolios formed at the end of
month t–1, the lagged momentum return is a stock's cumulative return for
t–12 to t–2. The momentum breakpoints for all stocks in a region are the
30th and 70th percentiles of the lagged momentum returns of the region's
big stocks.
The global portfolios use global size breaks, but we use the momentum
breakpoints for each region to allocate the region's stocks to the global
portfolios. The independent 2x3 sorts on size and momentum produce six
value-weight portfolios, SL, SN, SW, BL, BN, and BW, where S and B indicate
small and big and L, N, and W indicate losers, neutral, and winners (bottom
30%, middle 40%, and top 30%).
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