All returns are in U.S. dollars, include dividends and
capital gains, and are not continuously compounded. We sort stocks in a
region into five market cap and five book-to-market equity (B/M) groups at
the end of each June.
The size breakpoints for a region are the 3rd, 7th, 13th, and 25th
percentiles of the region's aggregate market capitalization. The B/M
breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th
percentiles of B/M for the big (top 90% of market cap) stocks of the
The developed portfolios use developed size breaks, but we use the B/M
breakpoints for each region to allocate the region's stocks to the developed
Similarly, the developed ex us portfolios use developed ex us size breaks and regional B/M breakpoints.
The 25 value-weight size-B/M portfolios for a region are the
intersections of the independent 5x5 size and B/M sorts.