Description of 4 Portfolios Formed on Operating Profitability and Investment for Emerging Markets

Monthly Returns:	July 1992 – September, 2024
Annual Returns:	1993–2023
Construction:	All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded. We sort stocks in a country into two Operation Profitability (Prof) groups and two Investment (Inv) groups at the end of June of each year t. The Prof and Inv breakpoints in a country are the 50% percentile of Prof and Inv for all the eligible stocks of the country. We use operating profitability and investment breakpoints for each country to allocate the stocks to the country portfolios. The independent 2x2 sorts on Prof and Inv produce four value-weight portfolios, Low Prof Low Inv, Low Prof High Inv, High Prof Low Inv and High Prof High Inv
Stocks:	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 and total assets data for t-2 and t-1. The emerging markets countries currently include: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.
Data:	The raw data incorporate data from both International Finance Corporation and Bloomberg for 1989 to 1994 and from Bloomberg for 1995 to present.