Profitable-minus-umprofitable (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.