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

Monthly Returns:	November 1990–April 2013
Annual Returns:	1991–2012
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 lagged momentum return groups at the end of each month t. The size breakpoints for a region are the 3rd, 7th, 13th, and 25th percentiles of the region's aggregate market capitalization. For portfolios formed at the end of month t–1, the lagged momentum return is a stock's cumulative return for t–12 to t–2. The momentum breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th percentiles of the lagged momentum return for big (top 90% of market cap) stocks of the region. The global portfolios use global size breaks, but we use the momentum breakpoints for each region to allocate the region's stocks to the global portfolios. The 25 value-weight size-momentum portfolios for a region are the intersections of the independent 5x5 size and momentum sorts.
Stocks:	The portfolios constructed each month include stocks with prior return data. To be included in a portfolio for month t (formed at the end of the month t–1), a stock must have a price for the end of month t–13 and a good return for t–2.