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Description of 6 Portfolios Formed Daily on Size and Momentum for Developed Markets

Daily Returns:

 

December 1, 1990– February 29, 2024

 

 

 

Construction:

 

All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded. We sort stocks in a region into two market cap and three lagged momentum return groups at the end of each day t.

Big stocks are those in the top 90% of market cap for the region, and small stocks are those in the bottom 10%. 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 30th and 70th percentiles of the lagged momentum returns of the region's big stocks.

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 independent 2x3 sorts on size and momentum produce six value-weight portfolios, SL, SN, SW, BL, BN, and BW, where S and B indicate small and big and L, N, and W indicate losers, neutral, and winners (bottom 30%, middle 40%, and top 30%).

 

 

 

Stocks:

 

The six portfolios constructed each day include stocks with prior return data. To be included in a portfolio for day t (formed at the end of the day t–1), a stock must have a price for the end of day t–251 and a good return for t–21.

 

Country Developed Developed ex US Europe Japan Asia Pacific ex Japan North America
 Australia      
 Austria      
 Belgium      
 Canada      
 Switzerland      
 Germany      
 Denmark      
 Spain      
 Finland      
 France      
 Great Britain      
 Greece      
 Hong Kong      
 Ireland      
 Italy      
 Japan      
 Netherlands      
 Norway      
 New Zealand      
 Portugal      
 Sweden      
 Singapore      
 United States