

Detail for 32
Portfolios Formed on Size, BooktoMarket, and Investment
Monthly Returns: 

July 1963  March 2021 



Annual
Returns: 

1964  2020 



Construction: 

The portfolios,
which are constructed at the end of each June, are allocated to two Size groups (Small and Big) using
NYSE median market cap breakpoint. Stocks in each Size group are allocated independently to four B/M groups
(low B/M to High B/M for fiscal year t1) and four Inv groups (Low Inv to High Inv for fiscal year t1)
using NYSE quartile breakpoints specific to the Size group.
BE/ME for June of year t is the book equity for the last fiscal year end in t1 divided by ME for December of t1.
Inv for June of year t is the change in total assets from the fiscal year ending in year t2 to the fiscal year ending in t1, divided by t2 total assets.




Stocks: 

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, (positive) book equity data for t1, and total assets data for t2 and t1. 
