qmj: Exploring a quality minus junk approach to evaluating stocks

In anttsou/qmj: Quality Scores for the Russell 3000

Description

The qmj package calculates quality scores for the companies in the Russell 3000 Index based on the paper Quality Minus Junk by Clifford Asness, Andrea Frazzini, and Lasse Pedersen.

Details

Quality is a scaled measure of a company's profitability, growth, safety, and payouts. By using publicly available data for company balance sheets, income statements, and cash flows, qmj calculates relative quality z-scores for companies.

All functions and datasets are documented, and are freely available for use. Index of datasets:

• companies - A data frame of publicly traded companies in the Russell 3000 Index.

• financials - Financial statements for companies in the companies dataset.

• prices - Daily prices and price returns for the past two years for each company.

• quality - Most recently measured quality z-scores and component scores.

References

Asness, Clifford S., Andrea Frazzini, and Lasse H. Pedersen. 'Quality Minus Junk.' AQR (2013)

anttsou/qmj documentation built on May 10, 2019, 12:28 p.m.