qmj {qmj} | R Documentation |
Exploring a quality minus junk approach to evaluating stocks
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_r3k16 - A data frame of publicly traded companies in the Russell 3000 Index.
financials_r3k16 - Financial statements for companies in the companies_r3k16 dataset.
prices_r3k16 - Daily prices and price returns for the past two years for each company.
quality_r3k16 - Measured quality z-scores and component scores
Author(s)
Maintainer: Yanrong Song yrsong129@gmail.com
Authors:
Anthoney Tsou anttsou@gmail.com
Eugene Choe ec7@williams.edu
David Kane dave.kane@gmail.com
Ryan Kwon rynkwn@gmail.com
Zijie Zhu zijie.miller.zhu@gmail.com
References
Asness, Clifford S., Andrea Frazzini, and Lasse H. Pedersen. 'Quality Minus Junk.' AQR (2013)
See Also
Useful links:
Report bugs at https://github.com/anttsou/qmj/issues