| Title: | Quality Scores for the Russell 3000 |
| Version: | 0.2.1 |
| Description: | Produces quality scores for each of the US companies from the Russell 3000, following the approach described in "Quality Minus Junk" (Asness, Frazzini, & Pedersen, 2013) http://www.aqr.com/library/working-papers/quality-minus-junk. The package includes datasets for users who wish to view the most recently uploaded quality scores. It also provides tools to automatically gather relevant financials and stock price information, allowing users to update their data and customize their universe for further analysis. |
| Imports: | quantmod(≥ 0.4-3), dplyr, reticulate, rlang |
| Depends: | R (≥ 3.5.0) |
| Suggests: | testthat |
| License: | GPL-3 |
| BugReports: | https://github.com/anttsou/qmj/issues |
| LazyData: | true |
| LazyDataCompression: | xz |
| RoxygenNote: | 7.3.2 |
| Encoding: | UTF-8 |
| Config/reticulate: | list(packages = list(list(package = "yfinance"))) |
| NeedsCompilation: | no |
| Packaged: | 2025-01-14 13:52:36 UTC; milz |
| Author: | Anthoney Tsou [aut], Eugene Choe [aut], David Kane [aut], Ryan Kwon [aut], Yanrong Song [aut, cre], Zijie Zhu [aut] |
| Maintainer: | Yanrong Song <yrsong129@gmail.com> |
| Repository: | CRAN |
| Date/Publication: | 2025-01-15 18:20:02 UTC |
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
Removes downloaded temporary files.
Description
clean_downloads removes files that get_info and get_prices
temporarily store when progress is interrupted while updating.
Because the temporarily stored data may become irrelvant over time,
clean_downloads removes these files so that get_info and
get_prices will download completely fresh sets of data for a given
data frame of companies.
Usage
clean_downloads(x = qmj::companies_r3k16)
Arguments
x |
A data frame of companies. Must have a ticker column. |
Details
The clean_downloads() function will also automatically remove any temporarily stored data for the S&P 500, with the stock ticker ^GSPC.
Value
A logical vector Where the (2i-1)th and (2i)th element corresponds to whether or not a temporary financial and/or price file, respectively, was found and removed for the ith company provided.
For example, if AAPL was our 3rd company, for which we had not partially downloaded financial data, but did have temporary price data, the 5th and 6th elements of the logical vector would be FALSE and TRUE, respectively.
The last two indices refer to the S&P 500 temporary data.
See Also
Examples
clean_downloads()
A list of all companies in the Russell 3000 Index
Description
Stores the names and tickers for all companies in the Russell 3000 Index as of January 2016.The list from which the data was culled was last updated 2015/06/26.
Format
A data frame with approximately 3000 rows and 2 variables.
name = The name of the company. Of class
"character".ticker = The ticker of the company. Of class
"character".
Details
The Russell 3000 Index is an equity index that tracks the performance of the "3000" (this number may actually vary from year to year, but is always in the neighborhood of 3000) largest US companies as measured by market cap. The component companies that make up this index are reconstituted once a year, usually between May and June. At this reconstitution, all companies are reranked based on their market caps for the year, and any companies which become "ineligible" by,for example, going bankrupt, becoming acquired, or becoming private, are replaced at this time.
This Index was chosen due to the size of its component companies (which mitigates the likelihood of erroneous items, such as a tiny company doubling in profitability despite there being little absolute change), this package's reliance on US-centric data sources, and to produce items which are more likely to interest the user.
Companies_r3k16 crucially provides tickers to many functions in the package, allowing the package to connect financial statements and price information to a specific company. It is also the basis of the many "get" functions of the package, which retrieves and then formats data from the web. The Companies_r3k16 data set is the "base" data that produces financials, prices, and ultimately quality scores.
Source
https://www.lseg.com/en/ftse-russell
See Also
Financial statements of all companies in the Russell 3000 index for the past four years
Description
A data frame containing all annual financial statements (balancesheets,
cashflows, and income statements) for the past four years if available.
For a description of the Russell 3000 index, as well as why it was used
for this package, see companies_r3k16. Last updated 2016/01/06.
Format
A data frame with approximately 12000 rows and 23 variables
AM = Amortization, of class
"character".CWC = Changes in Working Capital, of class
"character".CX = Capital Expenditures, of class
"character".DIVC = Dividends per Share, of class
"character".DO = Discontinued Operations, of class
"character".DP.DPL = Depreciation/Depletion, of class
"character".GPROF = Gross Profits, of class
"character".IAT = Income After Taxes, of class
"character".IBT = Income Before Taxes, of class
"character".NI = Net Income, of class
"character".NINT = Interest and Expense - Net Operating, of class
"character".NRPS = Non-redeemable Preferred Stock, of class
"character".RPS = Redeemable Preferred Stock, of class
"character".TA = Total Assets, of class
"character".TCA = Total Current Assets, of class
"character".TCL = Total Current Liabilities, of class
"character".TCSO = Total Common Shares Outstanding, of class
"character".TD = Total Debt, of class
"character".TL = Total Liabilities, of class
"character".TLSE = Total Liabilities and Shareholders' Equity, of class
"character".TREV = Total Revenue, of class
"character".
Details
Some companies may store "weird" data, such as having information solely for the years 1997-2001, or by having multiple annual reports within the same year (such as one report being filed in March of 2013, and another filed in December of 2013). In the case of companies reporting multiple annual data from the same year, the years of their reports are suffixed with their order. For example, GOOG may have data from 2013.1, 2013.2, 2012.3, 2011.4. This means Google's most recent data set is from 2013 (2013.1), another data set was published in 2013 (2013.2), and the remaining years are also suffixed for convenience.
The main purpose of financials_r3k16 is to provide key information for each
company in order to calculate each of the quality component scores
(profitability, growth, safety, and payouts). For every ticker in the
companies_r3k16 data set, financials_r3k16 will try to store the most
recent four years of annual data, though this may vary based on
availability.
Source
Google & Yahoo Finance, accessed through quantmod & yfinance
See Also
Builds a companies data frame from a text file.
Description
get_companies reads in the contents of a text file
created from the pdf of company names and tickers given by
the Russell 3000 Index.
Usage
get_companies(filepath = system.file("extdata/companies.txt", package = "qmj"))
Arguments
filepath |
Specifies the filepath of the text file containing the company names and tickers of interest. May be either absolute or relative to working directory. |
Details
The user must copy and paste the contents of the Russell 3000 Index into a text file for this function to process the data correctly. Simply select all of the component list and paste the contents into an empty document with the .txt extension. The list may be found here.
If you wish to use your own text file of companies for get_companies to process, create a text file containing each company on a separate line. Every word and ticker must be capitalized, and the ticker must be the last word, separated by a space, on each line.
get_companies by default uses a text file created from
the Russell 3000 Index in the package.
Value
data.frame of companies info
Functions
-
get_companies(): function splits by space and grabs everything before the last word as the name and has the last word as the ticker. Which chunk it returns is determined by the is_name variable.
Examples
get_companies()
Gets raw financial statements from Google Finance.
Description
get_info grabs annual financial data for a given data frame of companies.
Usage
get_info(companies = qmj::companies_r3k16)
Arguments
companies |
A data frame of companies. Must have a ticker column. |
Details
For each ticker in the data frame of companies, get_info grabs
financial data using the quantmod package and generates a list with
three sub-lists. Also writes .RData files to the user's temporary directory.
If cancelled partway through, get_info is able to find and re-read this
data, quickly resuming its progress. Once complete, get_info deletes
all used temporary data.
Parameter data frame defaults to provided companies_r3k16 data set if not specified.
Value
A list with three elements. Each element is a list containing all financial documents of a specific type for each company. These lists are, in order, all cash flow statements, all income statements, and all balance sheets.
See Also
Examples
# Takes more than 10 secs
if (reticulate::py_module_available("yfinance"))
get_info(companies_r3k16[companies_r3k16$ticker %in% c("AAPL", "AMZN"), ])
Grab daily prices and price returns for the previous two years.
Description
get_prices grabs price-related data for a given data frame
of companies and returns a matrix-like object containing relevant
price data.
Usage
get_prices(companies = qmj::companies_r3k16)
Arguments
companies |
A data frame of company names and tickers. |
Details
get_prices is also able to write .RData files
to the user's temporary directory. If canceled partway through,
the function is able to find and re-read this data to resume progress.
Once complete, the function deletes all used temporary data.
Parameter defaults to provided data set of companies if empty.
Value
A matrix-like object containing relevant price data. The rows of the matrix are dates in the international standard of YYYY-MM-DD. Each column specifies what data it covers in the form of TICKER.DATA, with the exception of price returns, which are stored as pret.#, where # refers to the the i-th company given.
The first company calculated is always the S&P 500, and its price return column is simply 'pret'.
Functions
-
get_prices(): Calculates price returns for an xts object.
See Also
Examples
get_prices(companies_r3k16[companies_r3k16$ticker %in% c("AAPL", "AMZN"), ])
Install yfinance and dependencies
Description
‘install_yfinance()' installs just the yfinance python package and it’s direct dependencies. Users may be asked to install miniconda for the python installations. Even if you first decline it, you can later install miniconda by running ['reticulate::install_miniconda()']
Usage
install_yfinance(..., envname = "r-qmj", new_env = identical(envname, "r-qmj"))
Arguments
... |
other arguments passed to ['reticulate::py_install()'] |
envname |
The name, or full path, of the environment in which Python
packages are to be installed. When |
new_env |
Delete 'envname' if it already exists |
Value
No return value, called for installing Python yfinance module
Produces component and quality scores.
Description
Calculates market growth, payouts, safety, and profitability of our list of companies for later processing.
Usage
market_data(
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 information for the given companies. |
prices |
A data frame containing the daily market closing prices and returns. |
Details
All parameters default to package data sets and must
be formatted similarly to a data frame produced by
tidy_prices and tidyinfo.
Value
A data frame containing company names, tickers, profitability z-scores, growth z-scores, safety z-scores, payout z-scores, and quality z-scores. Organized by quality in descending order.
data.frame of all market data
See Also
Examples
# Takes more than 10 secs
market_data(companies_r3k16[companies_r3k16$ticker %in% c("AAPL"), ])
Collects growth z-scores for companies
Description
Given a data frame of companies (names and tickers) and a data frame of financial statements, calculates GPOA, ROE, ROA, CFOA, GMAR, ACC over a four-year time span and determines the z-score of overall growth for each company based on the paper Quality Minus Junk (Asness et al.) in Appendix page A2.
Usage
market_growth(
companies = qmj::companies_r3k16,
financials = qmj::financials_r3k16
)
Arguments
companies |
A data frame of company names and tickers. |
financials |
A data frame containing financial statements for every company. |
Value
data.frame of market growth values
See Also
Examples
market_growth(companies_r3k16[1,], financials_r3k16)
Collects payout z-scores for companies
Description
Given a data frame of companies (names and tickers) and a data frame of financial statements, calculates EISS, DISS, NPOP and determines the z-score of overall payout for each company based on the paper Quality Minus Junk (Asness et al.) in Appendix page A3-4.
Usage
market_payouts(
companies = qmj::companies_r3k16,
financials = qmj::financials_r3k16
)
Arguments
companies |
A data frame of company names and tickers. Requires a 'ticker' column. Defaults to the provided companies data set. |
financials |
A data frame containing financial statements for every company. Defaults to the provided financials data set. |
Value
data.frame of market payouts values
Functions
-
market_payouts(): Returns all rows in x that aren't in y, where x and y are data frames.
See Also
Examples
market_payouts(companies_r3k16[1,], financials_r3k16)
Collects profitability z-scores for companies
Description
Given a data frame of companies (names and tickers) and a data frame of financial statements, calculates GPOA, ROE, ROA, CFOA, GMAR, ACC and determines the z-score of overall profitability for each company based on the paper Quality Minus Junk (Asness et al.) in Appendix page A2.
Usage
market_profitability(
companies = qmj::companies_r3k16,
financials = qmj::financials_r3k16
)
Arguments
companies |
A data frame of company names and tickers. Requires a 'ticker' column. Defaults to provided companies data set. |
financials |
A data frame containing financial statements for every company. Defaults to provided financial data set. |
Value
Whatdata.frame of market profitability values
See Also
Examples
market_profitability(companies_r3k16[1,], financials_r3k16)
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
Examples
# Takes more than 10 secs
market_safety(companies_r3k16[companies_r3k16$ticker %in% c("AAPL"), ])
A dataframe of price returns and closing prices for companies in the Russell 3000 Index
Description
Stores price returns and closing prices for the past two years
(if available) for the Russell 3000 Index companies as well as
the S&P 500 (uniquely taken from Yahoo finance), to serve as a
benchmark. For a description of the Russell 3000 index, as well as
why it was used for this package, see companies_r3k16.
Last updated 2016/01/06.
Format
A data frame with roughly 1,500,000 rows and 4 variables
ticker = Company ticker, of class
"character".date = Date in format YYYY-MM-DD, of class
"character".pret = Price returns, of class
"numeric".close = Closing stock prices for the day, of class
"numeric".
Details
Prices is used to calculate the safety score of companies, and
stores closing stock prices and price returns for every company
in companies_r3k16 for the past two years. Price data
varies significantly among companies, and companies that do not
return price data are not represented here. Price returns are
also calculated using two adjacent days in the dataset, a timespan
which may cover one day or several depending on the company and
what day is being considered.
Source
Google Finance, accessed through quantmod
See Also
A dataframe of quality scores for companies listed in the Russell 3000
Description
Displays overall quality scores as well as the scores for profitability,
growth, safety, and payouts. Companies are sorted in order of quality
score, with NAs stored at the end of the data set. For a description of
the Russell 3000 index, as well as why it was used for this package,
see companies_r3k16. Last updated 2016/01/06.
Format
A data frame with approximately 3000 rows and 7 variables
quality = class
"numeric".profitability = class
"numeric".growth = class
"numeric".safety = class
"numeric".payouts = class
"numeric".
Details
The quality data set stores quality and component scores for the
various companies list in the companies_r3k16 data set. For
every ticker in companies, quality attempts to assign a profitability,
growth, safety, and payouts score to each company using data from
financials_r3k16 and prices_r3k16, and then attempts
to provide a quality score. It is possible that one or more companies
may not have sufficient information to provide one or more component
scores, in which case those companies can still be found at the end
of the data set, with NA's making up any data that cannot be found.
If partial information exists (i.e., a profitability score was able to be calculated), then those scores are kept for that company, even if insufficient information exists to produce a quality score. More details may be found on the technical vignette.
Makes raw balancesheet data usable and readable.
Description
Processes raw balance sheet data produced from quantmod into a tidy data frame. Raw balance sheet data must be formatted in a list such that every element is a data frame or matrix containing quantmod data.
Usage
tidy_balancesheets(x)
Arguments
x |
A list of raw cash flow data produced from quantmod |
Details
tidy_balancesheets produces a data frame that is
'tidy' or more readily readable by a user and usable by
other functions within this package.
Value
Returns a data set that's been 'tidied' up for use by other functions in this package.
See Also
Makes raw cash flow data usable and readable.
Description
Processes raw cash flow data from quantmod to return a tidied data frame. Raw cash flow data must be formatted in a list such that every element is a data frame or matrix containing quantmod data.
Usage
tidy_cashflows(x)
Arguments
x |
A list of raw cash flow data produced from quantmod |
Details
tidy_cashflows produces a data frame that is 'tidy'
or more readily readable by a user and usable by other
functions within this package.
Value
Returns a data set that's been 'tidied' up for use by other functions in this package.
See Also
Main helper function for all tidy functions.
Description
This function does the main work of converting raw financial data into organized data frames. It is used by qmj's tidy functions to reuse common code and to avoid potential mistakes from repeating similar processes.
Usage
tidy_helper(x)
Arguments
x |
A matrix containing financial information, either cash flows, balancesheets, or income statements, downloaded from Google Finance. The formatting of the matrix has not been altered yet, as if just retrieved. |
See Also
Makes raw incomestatement data usable and readable.
Description
Tidies raw income statement data produced from quantmod and returns the tidied data frame. Raw income statement data must be formatted in a list such that every element is a data frame or matrix containing quantmod data.
Usage
tidy_incomestatements(x)
Arguments
x |
A list of raw incomestatement file data produced from quantmod |
Details
tidy_incomestatements produces a data frame that is 'tidy'
or more readily readable by a user and usable by other functions within
this package.
Value
Returns a data set that's been 'tidied' up for use by other functions in this package.
See Also
Formats raw price data.
Description
Tidies raw prices and returns a tidied, usable data frame. Raw data should be structured identically to that produced by get_prices(), as this function depends on that structure.
Usage
tidy_prices(x)
Arguments
x |
Raw daily data, as produced by get_prices() |
Details
tidy_prices produces a data frame that is 'tidy' or
more readily readable by a user and usable by other functions
within this package.
Value
Returns a data set that's been 'tidied' up for use by other functions in this package.
data.frame of cleaned prices
Functions
-
tidy_prices(): combines relevant columns from the original price data set. Convert certain columns into character in order to bypass the warning generated by dplyr::bind_rows()
See Also
Examples
my_companies <- data.frame(ticker=c('GOOG', 'IBM'))
raw_price_data <- get_prices(my_companies)
prices <- tidy_prices(raw_price_data)
Formats raw financial data.
Description
tidyinfo works by formatting and curtailing the
raw data generated by quantmod (and, by extension,
the get_info function of this package)
Usage
tidyinfo(x)
Arguments
x |
A list of lists of financial statements. Generated from get_info(companies). |
Value
Returns a data set that is usable by the other functions of this package, as well as being generally more readable.
data.frame of cleaned info (cash flows, income statements, balance sheets)
See Also
Examples
if (reticulate::py_module_available("yfinance")) {
my_companies <- data.frame(ticker = c('GOOG', 'IBM'))
raw_data <- get_info(my_companies)
financials <- tidyinfo(raw_data)
}