Price & Market BehaviorCore researchlive in production

Quality Minus Junk

Updated quarterlyData needs: medium

In plain terms

High-quality stocks (good margins, high ROE) that are ALSO trending up tend to beat low-quality losers. Goes long only when both check out.

How it works

Quality-Momentum (Asness-Frazzini-Pedersen 2019 QMJ): combine quality (gross profit / assets, ROE) with momentum — long when both are in their respective top buckets relative to their own history. The canonical cross-sectional implementation would rank across the universe; we approximate with self-relative quintiles, with fundamentals available-date lagged 45d to respect filing latency.

Live results

5 times picked on its own · 11 times inside a blend (6 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 11 such blended picks (6 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)

Loading substrate evidence…

Data dependencies

Fundamentals quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.
Daily bars
Daily OHLCV bars used by all price-based generators.

Expected edge

Reported Sharpe: 0.6-0.9 (Asness-Frazzini-Pedersen 2019)
Tested over: 1956-2016

0.6-0.9 Sharpe globally (Asness-Frazzini-Pedersen 2019)

Example tickers where this is likely to fire

MSFT V MA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Betting Against BetaPrice & Market Behavior

Low-beta stocks (calmer than the market) tend to deliver better risk-adjusted returns than high-beta ones; this family overweights when beta drops.

Gross ProfitabilityPrice & Market Behavior

Companies with high gross profit / total assets keep beating peers — it's the cleanest measure of 'is this business actually good'.

Explore Quality Minus Junk on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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