Industry-adjusted value, momentum, and profitability factors (HML*, UMD*, and PMU*) construction details:

Construction: These factors are constructed using the basic methodology employed by Fama and French to construct HML.

Each factor is constructed as the equal-weighted average of value-weighted large and small cap strategies, where large and small are defined by NYSE median market capitalization.

Within the large and small cap universes each strategy buys (sells) stocks in the top (bottom) 30% of all stocks (large and small), using NYSE breaks, on the sorting characteristic.

These characteristics are log-book-to-market (HML*), cumulative returns over the first 11 months of the preceding year (UMD*), and gross profits-to-assets (PMU*), and are demeaned by the average characteristic for firms in the same industry (Fama-French 49). Residual market exposure is hedged with offsetting positions in value-weighted industry portfolios (alternatively, each "stocks" position in the strategy can be viewed as a long stock position and a short position in the stock's industry).

Universe: HML* and PMU* are rebalanced at the end of June, and UMD* is rebalanced at the end of each month, using all NYSE, AMEX, and NASDAQ firms for which the corresponding sorting characteristic is available.

HML* excludes firms with negative book equity.

PMU* includes financials, because the gross profits-to-assets is demeaned by industry.

Accounting data are assumed available at the end of June for fiscal years ending on or before the end of December of the preceding calendar year.

Period: July 1963 - December 2012.
More details: See The other side of value: The gross profitability premium