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 a ~3,000-stock US universe (Russell 3000 approximation), with live tracking and a monthly briefing.
Three interlocking signals
Each pillar answers a different question. Together they form a robust, academically grounded stock-selection process.
① Quality
13 ratios spanning Profitability, Growth and Safety (Altman Z-score, Piotroski-like). One composite z-score per stock.
Explore →② 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 →③ Regime
Factor-level momentum: if the strategy's own trailing-3M return is negative, exposure is halved. A built-in circuit breaker.
Defensive mechanics →Fully automated, every month
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Built on Quality Minus Junk
The strategy extends the seminal work of Asness, Frazzini & 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 a point-in-time US equity universe (~5,000 firms) from SimFin, including delisted and bankrupt names — no survivorship bias. Monthly rebalancing. The live forward continues on a Russell 3000–style universe (top 3,000 US-listed by market cap) via SEC EDGAR. The S&P 500 is the comparison benchmark throughout.