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

Monthly Returns:

 

November 1990March 2017

 

 

 

Annual Returns:

 

19912016

 

 

 

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 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 t1, the lagged momentum return is a stock's cumulative return for t12 to t2. 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. Similarly, the global ex us portfolios use global ex us size breaks and regional momentum breakpoints. 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%).

 

 

 

Stocks:

 

The six portfolios constructed each month include stocks with prior return data. To be included in a portfolio for month t (formed at the end of the month t1), a stock must have a price for the end of month t13 and a good return for t2.

 

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