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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 lagged momentum return groups at the
end of each day t.
The size breakpoints for a region are the 3rd, 7th, 13th, and 25th
percentiles of the region's aggregate market capitalization. For portfolios
formed at the end of day t–1, the lagged momentum return is a stock's
cumulative return for day t–250 to t–20. The momentum breakpoints for all stocks
in a region are the 20th, 40th, 60th, and 80th percentiles of the lagged
momentum return for big (top 90% of market cap) stocks of the region.
The developed portfolios use developed size breaks, but we use the momentum
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 momentum breakpoints.
The 25 value-weight size-momentum portfolios for a region are
the intersections of the independent 5x5 size and momentum sorts.
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