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  Detail for 6 Portfolios Formed on Size and Book-to-Market

Daily Returns:   July 1, 1926 - May 31, 2024
Weekly Returns:   July 2, 1926 - May 31, 2024
Monthly Returns:   July 1926 - May 2024
Annual Returns:   1927 - 2023
Construction:   The portfolios, which are constructed at the end of each June, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on the ratio of book equity to market equity (BE/ME). The size breakpoint for year t is the median NYSE market equity at the end of June of year t. BE/ME for June of year t is the book equity for the last fiscal year end in t-1 divided by ME for December of t-1. The BE/ME breakpoints are the 30th and 70th NYSE percentiles.
Median ME Chart
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 December of t-1 and June of t, and (positive) book equity data for t-1.