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Description of 25 Portfolios Formed Daily on Size and Momentum for Developed Markets

Daily Returns:

 

January 1, 1991May 31, 2017

 

 

 

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 five market cap and five lagged momentum return groups at the end of each day t.

The size breakpoints for a region are the 3rd, 7th, 13th, and 25th percentiles of the region's aggregate market capitalization. For portfolios formed at the end of day t1, the lagged momentum return is a stock's cumulative return for day t250 to t20. The momentum breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th percentiles of the lagged momentum return for big (top 90% of market cap) stocks of the region.

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 25 value-weight size-momentum portfolios for a region are the intersections of the independent 5x5 size and momentum sorts.

 

 

 

Stocks:

 

The portfolios constructed each day include stocks with prior return data. To be included in a portfolio for day t (formed at the end of the day t1), a stock must have a price for the end of day t251 and a good return for t21.

 

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