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Description of 25 Portfolios Formed on Size and Profitability for Developed Markets

Daily Returns:

 

July 1, 1990 – February 29, 2024

 

 

 

Monthly Returns:

 

July 1990 – February, 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 five market cap and five Profitability (OP) 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 OP breakpoints for all stocks in a region are the 20th, 40th, 60th, and 80th percentiles of OP for the big (top 90% of market cap) stocks of the region.

The developed portfolios use developed size breaks, but we use the OP 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 breakpoints. The 25 value-weight size-OP portfolios for a region are the intersections of the independent 5x5 size and OP 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