Sources and Descriptions of Data

Fama/French US Small Value Index (ex utilities). July 1926 to December 2017. Composition: US operating companies trading on the NYSE, AMEX or Nasdaq NMS. Maximum weight of any security in a portfolio is 4%. Exclusions: ADRs, Investment Companies, Tracking Stocks before 1993, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, Berkshire Hathaway Inc (Permco 540), negative book values, and Utilities. Sources: CRSP databases for returns and market capitalization: 1926 – Present. Compustat and hand-collected book values: 1926 – 1992. CRSP links to Compustat and hand-collected links: 1926 – Present. Book-to-market ratios provided by Dimensional: 1993 – Present. Breakpoints: Before June 1996, the small portfolios contain firms with market capitalization below the 55th percentile of all eligible NYSE firms and the large portfolios contain firms with market caps above the 50th percentile. From June 1996 to December 2000, the size breakpoint for all portfolios is the market cap of the median eligible NYSE firm. The BtM breakpoints for 1926 to 2000 split the eligible NYSE firms with positive book equity into three categories: the top 30% are in value and the bottom 30% are in growth. Starting in January 2001, the size breakpoints are defined by cumulative market cap percentile rules. Small is the bottom 8% of the overall stock market and large is the top 90%. The BtM breakpoints are defined by the firms in the relevant size range. The breakpoints for small value (high BtM) and small growth (low BtM) assign 25% of the total market cap in the small size range to each portfolio. The BtM breakpoints for large assign 10% of the market equity of large firms to the large value portfolio and 20% to the large growth portfolio. Rebalancing: Annual (at the end of June): 1926 – 1992. Quarterly: 1993 – Present. Currency: USD. Fama/French and multifactor data provided by Fama/French.

CRSP Deciles 9-10 Index – January 1926 to December 2017. Source: CRSP, total returns in USD. Small Company Universe Returns (Deciles 9 & 10) – All Exchanges. October 1988 – Present: CRSP Deciles 9-10 Cap-Based Portfolio. January 1973 – September 1988: CRSP Database (NYSE & AMEX & OTC), Rebalanced Quarterly. July 1962 – December 1972: CRSP Database (NYSE & AMEX), Rebalanced Quarterly. January 1926 – June 1962: NYSE, Rebalanced Semi-Annually. Currency: USD. CRSP data provided by the Center for Research in Security Prices, University of Chicago.

Fama/French US Large Value Index (ex utilities) – July 1926 to December 2017. Composition: US operating companies trading on the NYSE, AMEX or Nasdaq NMS. Maximum weight of any security in a portfolio is 4%. Exclusions: ADRs, Investment Companies, Tracking Stocks before 1993, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, Berkshire Hathaway Inc (Permco 540), negative book values, and Utilities. Sources: CRSP databases for returns and market capitalization: 1926 – Present. Compustat and hand-collected book values: 1926 – 1992. CRSP links to Compustat and hand-collected links: 1926 – Present. Book-to-market ratios provided by Dimensional: 1993 – Present. Breakpoints: Before June 1996, the small portfolios contain firms with market capitalization below the 55th percentile of all eligible NYSE firms and the large portfolios contain firms with market caps above the 50th percentile. From June 1996 to December 2000, the size breakpoint for all portfolios is the market cap of the median eligible NYSE firm. The BtM breakpoints for 1926 to 2000 split the eligible NYSE firms with positive book equity into three categories: the top 30% are in value and the bottom 30% are in growth. Starting in January 2001, the size breakpoints are defined by cumulative market cap percentile rules. Small is the bottom 8% of the overall stock market and large is the top 90%. The BtM breakpoints are defined by the firms in the relevant size range. The breakpoints for small value (high BtM) and small growth (low BtM) assign 25% of the total market cap in the small size range to each portfolio. The BtM breakpoints for large assign 10% of the market equity of large firms to the large value portfolio and 20% to the large growth portfolio. Rebalancing: Annual (at the end of June): 1926 – 1992. Quarterly: 1993 – Present. Currency: USD. Fama/French and multifactor data provided by Fama/French.

S&P 500 Index – January 1926 to December 2017. Total returns in USD. January 1990 – Present: S&P 500 Index. The S&P Data are provided by Standard & Poor’s Index Services Group. January 1926 – December 1989: S&P 500 Index. Ibbotson data courtesy of ©Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). Currency: USD. The S&P data are provided by Standard & Poor’s Index Services Group.

Long-Term Government Bonds – January 1926 to December 2017. Total returns net of all fees in USD. January 1926 – Present: Long Term Government Bonds. Source: Morningstar. Former Source: Stock, Bonds, Bills, And Inflation, Chicago: Ibbotson And Sinquefield, 1986. Currency: USD. Mutual fund universe statistical data and non-Dimensional money managers’ fund data provided by Morningstar, Inc.

One-Month US Treasury Bills – January 1926 to December 2017. Total returns in USD. January 1926 – Present: One-Month US Treasury Bills. Source: Morningstar. Former Source: Stocks, Bonds, Bills, And Inflation, Chicago: Ibbotson And Sinquefield, 1986. Currency: USD. Mutual fund universe statistical data and non-Dimensional money managers’ fund data provided by Morningstar, Inc.

US Consumer Price Index – January 1926 to December 2017. Source: Stocks, Bonds, Bills, And Inflation, Chicago: Ibbotson And Sinquefield, 1986. Represented by Consumer Price Index for All Urban Consumer (CPI-U), not seasonally adjusted. The CPI is updated with a one month lag. Currency: USD. US long-term bonds, bills, inflation, and fixed income factor data ©Stocks, Bonds, Bills, and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated work by Roger G. Ibbotson and Rex A. Sinquefield).