

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

July
1963  August 2023 



Annual Returns: 

1964  2022 



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 t1), include NYSE, AMEX, and NASDAQ stocks
with ME for the end of month t1 and nonmissing variance of daily returns. 
