Kenneth R. French - Description of Fama/French Factors

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

Monthly Returns:		July 1990 – March, 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.