market_safety: Collects safety z-scores for companies

In anttsou/qmj: Quality Scores for the Russell 3000

Collects safety z-scores for companies

Description

Given a data frame of companies (names and tickers), a data frame of financial statements, and a data frame of daily price data, calculates BAB, IVOL, LEV, O, Z, and EVOL, and determines the z-score of overall safety for each company based on the paper Quality Minus Junk (Asness et al.) in Appendix page A2.

Usage

market_safety(
  companies = qmj::companies_r3k16,
  financials = qmj::financials_r3k16,
  prices = qmj::prices_r3k16
)

Arguments

companies	A data frame of company names and tickers.
financials	A data frame containing financial statements for every company.
prices	A data frame containing the daily market closing prices and returns.

Value

data.frame of market safety values

See Also

market_data

market_profitability

market_growth

market_payouts

Examples

# Takes more than 10 secs
market_safety(companies_r3k16[companies_r3k16$ticker %in% c("AAPL"), ])

anttsou/qmj documentation built on Feb. 19, 2025, 5:25 p.m.