A kind reader commented “Don’t know if you have seen it, but Frazzini goes French now too” . I have profusely thanked and praised Kenneth French for his incredible data library. Now, it appears I’ll have to repeatedly do the same for Andrea Frazzini.
Here is a quick plot of Quality Minus Junk (QMJ) around the world. The code snippet is below the chart.
#ssrn citation to the paper
#Asness, Clifford S. and Frazzini, Andrea and Pedersen, Lasse Heje
#Quality Minus Junk (October 9, 2013)
#Available at SSRN: http://ssrn.com/abstract=231243
require(gdata)
require(quantmod)
require(latticeExtra)
#read spreadsheet
qmjFactors <- read.xls(
"http://www.econ.yale.edu/~af227/data/QMJ%20-%20Factors%20-%20monthly.xlsx"
,pattern = "DATE"
,blank.lines.skip = T
,stringsAsFactors = F
)
#convert spreadsheet data to R xts
#remove % with gsub, make numeric, and divide by 100
qmjFactors.xts <- as.xts(
do.call(cbind,
lapply(
qmjFactors[,-1]
,function(x){
df<-data.frame(as.numeric(
gsub(
x=x
,pattern="%"
,replacement=""
)
)/100)
colnames(df) <- colnames(x)
return(df)
}
)
) #date is first column; will use in order.by
,order.by = as.Date(qmjFactors[,1]) #as.Date(paste0(qmjFactors[,1],"-01"),format="%Y%m%d")
)
#xyplot(qmjFactors.xts)
asTheEconomist(
xyplot(
cumprod(1+na.omit(qmjFactors.xts))
, scales = list( y = list( relation = "same" ) )
, main = "Quality Minus Junk (2013)\nAsness,Frazzini, Pedersen\nhttp://ssrn.com/abstract=231243"
)
)
