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Construction:
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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, four book-to-market equity (B/M) and four profitability (OP) groups at
the end of June of each year t.
Big stocks are those in the top 90% of June market cap for the region, and
small stocks are those in the bottom 10%. Stocks in each size group are allocated independently
to four B/M groups and four OP groups using quartile breakpoints specific to the size group.
The developed portfolios use developed size breaks, but we use B/M, OP 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 B/M, OP breakpoints.
The 32 value-weight size-B/M-OP portfolios for a region are the intersections of the independent 2x4x4 size, B/M and OP sorts.
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