Home
Biography
Curriculum Vitae
Working Papers
Data Library
  Benchmarks
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
 

Detail for 25 Portfolios Formed Monthly on Size and Variance

Monthly Returns:   July 1963 -October 2017
     
Annual Returns:   1964 - 2016
     
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 daily returns (Var). The monthly size breakpoints are the NYSE market equity quintiles. Var is the variance of daily returns estimated using 60 days (minimum 20) of lagged returns. The Var breakpoints are NYSE quintiles.
     
Stocks:   The portfolios for month t (formed at the end of month t-1), include NYSE, AMEX, and NASDAQ stocks with ME for the end of month t-1 and non-missing variance of daily returns.

 

 

 

 

Copyright Kenneth R. French