// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Asness, Frazzini and Pedersen: Quality Minus Junk

DATA VALIDATED

Safe, profitable, growing firms trade at only modestly higher prices than junk, so long quality, short junk earned positive risk-adjusted returns.

How this run differs from the source: One profitability measure (ROE) and two growth filters; QMJ's safety and payout legs and its junk short are missing.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	17.0%	9.3%
Sharpe ratio	0.92	0.66
Max drawdown	-46.5%	-50.9%

// GROWTH OF $1, LOG SCALE

AMBER: THE STRATEGY · GREY: $SPXTR BUY & HOLD

Out-of-sample (from the split): CAGR 17.8% against 14.0% for the benchmark; Sharpe 0.90 in-sample, 0.94 out-of-sample.

After 25 bps of trading costs: 15.9% a year. EDGE OVER RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	26.0%	20.9%
2000s	14.0%	-0.8%
2010s	14.4%	14.0%
2020s	22.9%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*36.2%27.2%

199917.5%21.0%

200034.0%-9.1%

20012.0%-11.9%

2002-4.4%-22.1%

200388.7%28.7%

200422.0%10.9%

20059.5%4.9%

200622.6%15.8%

20079.7%5.5%

2008-33.7%-37.0%

200928.0%26.5%

201033.2%15.1%

20113.7%2.1%

201211.3%16.0%

201356.0%32.4%

2014-4.5%13.7%

20152.3%1.4%

20163.8%12.0%

201731.8%21.8%

2018-8.2%-4.4%

201929.1%31.5%

202012.7%18.4%

202127.7%28.7%

2022-8.2%-18.1%

202319.4%26.3%

202448.4%25.0%

202535.2%17.9%

2026*25.2%11.8%

Losing years: 2002 (-4.4%), 2008 (-33.7%), 2014 (-4.5%), 2018 (-8.2%), 2022 (-8.2%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Asness, Frazzini & Pedersen (2019), Review of Accounting Studies · 2019

Quality score: z-scored profitability, growth and safety (low beta, volatility, leverage, distress risk)
Payout (low net issuance) is added in some versions
Long high quality, short junk within size groups, value weighted, monthly

RUN IT YOURSELF ▸ IN THE LIBRARY

A real computation on the QuantGPT warehouse, walk-forward. A study across the whole market includes only part of the companies that later delisted from 1998 (survivors only before); a study on your own list of tickers is not affected. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-11-09 23:54 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE ONLY PARTLY IN THIS UNIVERSE (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE. PRIVACY