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Description of 25 Portfolios Formed on Size and Profitability
for Developed Markets
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Daily Returns:
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July 1, 1990 – September 30, 2024
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Monthly Returns:
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July 1990 – September, 2024
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Annual Returns:
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1991–2023
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Construction:
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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 Profitability (OP) groups at
the end of each June.
The size breakpoints for a region are the 3rd, 7th, 13th, and 25th
percentiles of the region's aggregate market capitalization. The OP
breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th
percentiles of OP for the big (top 90% of market cap) stocks of the
region.
The developed portfolios use developed size breaks, but we use the OP
breakpoints for each region to allocate the region's stocks to the developed
portfolios.
Similarly, the developed ex us portfolios use developed ex us size breaks and regional OP breakpoints.
The 25 value-weight size-OP portfolios for a region are the
intersections of the independent 5x5 size and OP sorts.
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Stocks:
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The portfolios for July of year t to June of t+1 include
all stocks for which we have market equity data for June of t,
(positive) book equity data for t-1, non-missing revenues data for t-1,
and non-missing data for at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.
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| Country |
Developed |
Developed ex US |
Europe |
Japan |
Asia Pacific ex Japan |
North America |
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| Australia
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| Austria |
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| Belgium
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| Canada |
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| Switzerland |
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| Germany |
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| Denmark |
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| Spain |
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| Finland |
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| France |
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| Great Britain |
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| Greece |
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| Hong Kong |
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| Ireland |
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| Italy |
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| Japan |
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| Netherlands |
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| Norway |
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| New Zealand |
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| Portugal |
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| Sweden |
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| Singapore |
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| United
States |
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