Buy quality.
Hold through trends.
Avoid the junk.
A long-only enhancement of the Quality Minus Junk framework (Asness, Frazzini & Pedersen, 2019), augmented with academic momentum and a factor-level regime indicator. Monthly rebalancing on the S&P 500.
Three interlocking signals
Each pillar answers a different question. Together they form a robust, academically grounded stock-selection process.
Quality
13 ratios spanning Profitability (GP/A, ROE, ROA, accruals…), Growth (5-year deltas) and Safety (Altman Z-score, Piotroski-like).
Explore the score →Momentum 12-1
Academic momentum: 12-month return excluding the last month, to avoid short-term reversal. A timing filter on quality stocks.
Why 12 minus 1 →Regime
Factor-level momentum: if the strategy's own trailing-3M return is negative, exposure is halved. A built-in circuit breaker.
Defensive mechanics →Get the monthly briefing
Each month after rebalancing: holdings, regime, performance vs S&P 500, and a short commentary. Free, no spam, GDPR-compliant.
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Built on academic excellence
The strategy extends the seminal work of Asness, Frazzini and Pedersen, "Quality Minus Junk", published in the Review of Accounting Studies (2019). The original paper demonstrates that high-quality stocks systematically outperform over the long run—a premium largely ignored by classical asset pricing models.
This research adds three layers: a long-only constraint (no shorting), a 12-1 momentum filter for entry timing, and a factor-level regime indicator for defensive de-risking. The empirical study covers 19 years (2007-2026) on the S&P 500 universe, with monthly rebalancing.