Profitable-minus-unprofitable (PMU) construction details:
| Construction: | The factor is constructed using four value-weight portfolios formed on size (split by NYSE median) and gross profits-to-assets (top and bottom 30% using NYSE breaks; gross profits is REVT - COGS).
The factor's return is the equal-weighted average of the returns to the value-weighted large cap and small cap profitability strategies, which buy profitable stocks and sell unprofitable stocks: |
| PMU = (Big Profitable - Big Unprofitable)/2 | |
| + (Small Profitable - Small Unprofitable)/2. | |
| Universe: | Portfolios are rebalanced at the end of June, using all NYSE, AMEX, and NASDAQ firms excluding financials (those with one-digit Standard Industrial Classification codes of six) for which gross profits-to-assets is available for the fiscal year ending on or before the end of December of the preceding calendar year. |
| Period: | July 1963 - December 2012. |