This data set is related to “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). Quality stocks — those of companies that are profitable, growing and well managed — command higher prices on average than those of unprofitable, stagnant or poorly managed companies, which we refer to as “junk.” While that is to be expected, the “quality margin” is puzzlingly modest, although high-quality stocks have consistently delivered high risk-adjusted returns. Indeed, a quality-minus-junk (QMJ) strategy, in which an investor goes long high-quality stocks and shorts low-quality stocks, has earned significant historical risk-adjusted returns in the U.S. and 23 other countries.
This data set is an updated and extended version of the paper data. We provide daily long/short QMJ factors for the U.S. and 23 international equity markets updated monthly. We define quality based on various measures of profitability, growth, safety and payout and use the resulting quality scores to construct QMJ factors at the intersection of six value-weighted portfolios formed on size and quality. We also provide the daily returns for several additional global factors for reference.