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Detail for 25 Portfolios Formed Monthly on Size and Variance

Monthly Returns:   July 1963 - December 2023
Annual Returns:   1964 - 2023
Construction:   The portfolios, which are constructed monthly, are the intersections of 5 portfolios formed on size (market equity, ME) and 5 portfolios formed on the variance of daily returns (Var). The monthly size breakpoints are the NYSE market equity quintiles. Var is the variance of daily returns estimated using 60 days (minimum 20) of lagged returns. The Var breakpoints are NYSE quintiles.
Stocks:   The portfolios for month t (formed at the end of month t-1), include NYSE, AMEX, and NASDAQ stocks with ME for the end of month t-1 and non-missing variance of daily returns.





Copyright Kenneth R. French