This file was created by CMPT_ME_BEME_VAR_RETS using the 201604 CRSP database. It contains value- and equal-weighted returns for portfolios formed on ME, BEME, and VAR. The portfolios are constructed at the end of each month. ME is for formation month end. BEME is book value for the latest fiscal year t ending at least six months prior to formation month divided by ME at the end of December of year t. The total return variance is measured over 60 days up to formation monthend requiring at least 20 non-missing daily returns. Annual returns are from January to December. Missing data are indicated by -99.99 or -999. The break points include utilities and include financials. The portfolios include utilities and include financials.