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

        Book-to-Market ([original](http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data%5FLibrary/tw%5F5%5Fports%5Fme%5Finv.html)) ([raw](?raw))

Detail for 25 Portfolios Formed on Size and Investment

| Monthly Returns: | | July 1963 - August 2024 | | -------------------- | | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | | | | | | | Annual Returns: | | 1964 - 2023 | | | | | | | Construction: | | The portfolios, which are constructed at the end of each June, are the intersections of 5 portfolios formed on size (market equity, ME) and 5 portfolios formed on investment (Inv). The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t. Investment is the change in total assets from the fiscal year ending in year t-2 to the fiscal year ending in t-1, divided by t-2 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 market equity data for June of t and total assets data for t-2 and t-1. |