

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

July 1963  June 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 OP groups (Low OP to High OP 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.
OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in 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.






Please be aware that some of the valueweight averages of operating profitability for deciles 1 and 10 are extreme. These are driven by extraordinary values of OP for individual firms. We have spot checked the accounting data that produce the extraordinary values and all the numbers we examined accurately reflect the data in the firm's accounting statements.




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, total assets data for t2 and t1,
nonmissing revenues data for t1, and nonmissing data for at least one of the following:
cost of goods sold, selling, general and administrative expenses, or interest expense for t1.

