Description: Description: Description: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/images/Board_DataSm.jpg

Description: Description: Description: Home

Description: Description: Description:

Description: Description: Description: Biography

Description: Description: Description:

Description: Description: Description: Curriculum Vitae

Description: Description: Description:

Description: Description: Description: Working Papers

Description: Description: Description:

Description: Description: Description: Data Library

 

Description: Description: Description: U.S. Research Returns

 

Description: Description: Description: Benchmarks

 

Description: Description: Description: U.S. Research Breakpoints

 

Description: Description: Description: U.S. Book Equity Data

 

Description: Description: Description: International Research Returns

 

Description: Description: Description: Developed Market Returns

Description: Description: Description:

Description: Description: Description: Consulting Relationship

Description: Description: Description: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/images/blank.gif

Description: Description: Description: Fama / French Forum

Description: Description: Description:

Description: Description: Description: Contact Information

 

Description of 25 Portfolios Formed on Size and Investment for Developed Markets

Daily Returns:

 

July 1, 1990–June 30, 2017

 

 

 

Monthly Returns:

 

July 1990–October 2017

 

 

 

Annual Returns:

 

1991–2016

 

 

 

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 Investment equity (Inv) 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 Inv breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th percentiles of Inv for the big (top 90% of market cap) stocks of the region.

The global portfolios use global size breaks, but we use the Inv 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 Inv breakpoints. The 25 value-weight size-Inv portfolios for a region are the intersections of the independent 5x5 size and Inv 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 June of t and total assets data for t-2 and t-1.

 

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