

Detail for 25 Portfolios Formed on Operating Profitability
and Investment
Monthly
Returns: 

July
1963  April 2020 



Annual Returns: 

1964  2019 



Construction: 

The portfolios,
which are constructed at the end of each June, are the intersections of 5 portfolios
formed on profitability (OP) and 5 portfolios formed on investment (Inv). OP for
June of year t is annual revenues minus cost of goods sold, interest expense,
and selling, general, and administrative expenses divided by book equity for the
last fiscal year end in t1. The OP breakpoints are NYSE quintiles. Investment is the change in total assets from the fiscal year ending in year t2
to the fiscal year ending in t1, divided by t2 total assets. The Inv breakpoints are NYSE quintiles.




Stocks: 

The portfolios
for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which
we have (positive) BE for t1, total assets data for t2 and t1,
nonmissing revenues data for t1, and nonmissing data for at least one of the following:
cost of goods sold, selling, general and administrative expenses, or interest expense for t1.

