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While replicating the FF-2015 Size-BE/ME-OP 32 test portfolios I notice missing values in the combination Big,BE/ME 4th quartile, OP 4th quartile.

I am a bit puzzled, FF say they independently sort based on NYSE breakpoints.

To be precise, does this mean full-sample sorts for each year june? Or does it mean first sort by size, then sort by BE/ME, then by OP?

My current NYSE breakpoints are annually full (NYSE) sample median for size, full sample 25%, 50%,75% for BE/ME and full sample 25%,50% and 75% for OP.

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  • $\begingroup$ Problem solved: Stocks in each Size group are allocated independently to four B/M groups (Low B/M to High B/M for fiscal year t1), four OP groups (Low OP to High OP for fiscal year t1), and four Inv groups (Low Inv to High Inv for fiscal year t1) using NYSE breakpoints specific to the Size group. But they don't apply this "independent" sort for the factor formation? $\endgroup$ – Willem Jan 17 at 0:23

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