

Detail for
6
Portfolios Formed on Size and Investment
Monthly Returns: 

July 1963  May 2024 



Annual Returns: 

1964  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 investment (Inv).
The size breakpoint for year t is the median NYSE market equity at the end of June of year t.
Investment 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. The Inv breakpoints are the 30th and 70th NYSE percentiles. 



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 and total assets data for t2 and
t1.

