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Description of 32 Portfolios Formed on Size, Profitability and Investment for Developed Markets

Monthly Returns:

 

July 1990 – September, 2024

 

 

 

Annual Returns:

 

1991–2023

 

 

 

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, four profitability (OP) and four Investment (Inv) 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 OP groups and four Inv groups using quartile breakpoints specific to the size group.

The developed portfolios use developed size breaks, but we use OP, Inv 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 OP, Inv breakpoints. The 32 value-weight size-OP-Inv portfolios for a region are the intersections of the independent 2x4x4 size, OP and Inv sorts..

 

 

 

Stocks:

 

The portfolios for July of year t to June of t+1 include all stocks for which we have market equity data for June of t, (positive) book equity data for t-1, non-missing revenues data for t-1, and non-missing data for at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.

 

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