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

Monthly Returns:

 

January 1990–September 2019

 

 

 

Annual Returns:

 

1990–2018

 

 

 

Construction:

 

All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded. We sort stocks in a country 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 country, 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 country are the 30th and 70th percentiles of the lagged momentum returns of the country's big stocks.

We use size and momentum breakpoints for each country to allocate the stocks to the country portfolios. The independent 2x3 sorts on size and momentum produce six value-weight portfolios, small losers (low momentum), small neutral, small winners (high momentum), big losers, big neutral, and big winners.

 

 

 

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 t–1), a stock must have a price for the end of month t–13 and a good return for t–2.

The emerging markets countries currently include:
Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.