Kenneth R. French - Detail for 25 Portfolios Formed Monthly on Size and Long-Term

        Reversal ([original](http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data%5FLibrary/det%5F25%5Fport%5Fform%5Fsz%5Fpr%5F60%5F13.html)) ([raw](?raw))

Detail for 25 Portfolios Monthly Formed on Size and Long-Term Reversal

| Monthly Returns: | | January 1931- August 2024 | | -------------------- | | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | | | | | | | Annual Returns: | | 1931-2023 | | | | | | | Construction: | | The portfolios, which are constructed monthly, are the intersections of 5 portfolios formed on size (market equity, ME) and 5 portfolios formed on prior (13-60) return. The monthly size breakpoints are the NYSE market quintiles. The monthly prior (13-60) return breakpoints are NYSE quintiles. | | | | | | | Stocks: | | The portfolios constructed each month include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for month t (formed at the end of month t-1), a stock must have a price for the end of month t-61 and a good return for t-13. In addition, any missing returns from t-60 to t-14 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of month t-1. |