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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 Investment equity (Inv) 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 Inv
breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th
percentiles of Inv for the big (top 90% of market cap) stocks of the
region.
The developed portfolios use developed size breaks, but we use the Inv
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 Inv breakpoints.
The 25 value-weight size-Inv portfolios for a region are the
intersections of the independent 5x5 size and Inv sorts.
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