Description of 25 Portfolios Formed on Size and Book-to-Market for Developed Markets

Monthly Returns:	July 1990–April 2013
Annual Returns:	1991–2012
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 book-to-market equity (B/M) groups at the end of each June. The size breakpoints for a region are the 3rd, 7th, 13th, and 25th percentiles of the region's aggregate market capitalization. The B/M breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th percentiles of B/M for the big (top 90% of market cap) stocks of the region. The global portfolios use global size breaks, but we use the B/M breakpoints for each region to allocate the region's stocks to the global portfolios. The 25 value-weight size-B/M portfolios for a region are the intersections of the independent 5x5 size and B/M sorts.
Stocks:	The portfolios for July of year t to June of t+1 include all stocks for which we have market equity data for December of t–1 and June of t, and (positive) book equity data for t–1.