Economy & PolicyExtended setexperimental liveNew

Baa Aaa Quality Spread

Updated dailyData needs: lowlong onlyshort only

1989

Fama, E. F., French, K. R. (1989). "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics 25(1), 23-49.

Read the paper →

In plain terms

The gap between the worst investment-grade corporate bond yield (BAA) and the best (AAA) is the within-IG quality margin. When that gap widens, lower-quality investment-grade corporates underperform for 3 months. Distinct from the BAA-Treasury spread.

How it works

BAA - AAA is the within-investment-grade quality spread. Fama-French 1989 document that widening BAA-AAA signals deteriorating economic conditions and rising default-risk premium for the lower-grade IG tier; leveraged-balance-sheet names underperform.

Live results

0 times picked on its own · 984 times inside a blend (707 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 984 such blended picks (707 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Fred macro
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: +/-3 to +/-5% over 63d
Tested over: T+1 to T+63d

Fama-French 1989; ~3-5% over 6-12mo on extreme quality-spread regimes.

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