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Detail for
100 Portfolios Formed on Size and Investment
| Monthly Returns: |
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July 1963 - September 2024 |
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| Annual
Returns: |
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1964 - 2023 |
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| Construction: |
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The portfolios,
which are constructed at the end of each June, are the intersections of 10 portfolios formed on
size (market equity, ME) and 10 portfolios formed on investment (Inv). The size
breakpoints for year t are the NYSE market equity deciles at the end of June of
year t. Investment is the change in total assets from the fiscal year ending in year t-2 to the fiscal year ending in t-1,
divided by t-2 total assets. The Inv breakpoints are NYSE deciles. |
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| Stocks: |
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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 t-2 and t-1. |
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