

Detail
for 25 Portfolios Formed Monthly on Size and Variance(Residuals)
Monthly
Returns: 

July
1963  May 2024 



Annual Returns: 

1964  2023 



Construction: 

The portfolios,
which are constructed monthly, are the intersections of 5 portfolios formed on size
(market equity, ME) and 5 portfolios formed on the variance of the residuals from the FF threefactor model (RVar).
The monthly size breakpoints are the NYSE market equity quintiles. RVar is estimated using 60 days (minimum 20) of lagged returns.
The RVar breakpoints are NYSE quintiles. 



Stocks: 

The portfolios for month t (formed at the end of month t1), include NYSE, AMEX, and NASDAQ stocks
with ME for the end of month t1 and nonmissing variance of daily returns. 
