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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 two market cap and three book-to-market equity (B/M) groups at
the end of June of each year t.
Big stocks are those in the top 90% of June market cap for the region, and
small stocks are those in the bottom 10%. The B/M breakpoints for big and
small stocks in a region are the 30th and 70th percentiles of B/M for the
big stocks of the region.
The developed portfolios use developed size breaks, but we use B/M 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 B/M breakpoints.
The independent 2x3 sorts on size and B/M produce six value-weight
portfolios, SG, SN, SV, BG, BN, and BV, where S and B indicate small or big
and G, N, and V indicate growth (low B/M), neutral, and value (high B/M).
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