

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

July
1963  February 2021 



Annual Returns: 

1964  2020 



Construction: 

The portfolios,
which are constructed at the end of each June, are the intersections of 5 portfolios formed on size (market equity, ME)
and 5 portfolios formed on investment (Inv). The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t.
Investment is the change in total assets from the fiscal year ending in year t2 to the fiscal year ending in t1, divided by t2 total assets.
The Inv breakpoints are NYSE quintiles. 



Stocks: 

The portfolios
for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which
we have market equity data for June of t and total assets data for t2 and t1. 
