

Detail for
6
Portfolios Formed on Size and Operating Profitability
Monthly Returns: 

July 1963  April 2020 



Annual Returns: 

1964  2019 



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 profitability (OP). The size breakpoint for year t is the median NYSE market equity at the end of June
of year t.
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. The OP 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, (positive) book equity data for 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.

