Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly
March 31, 2023
Topics - Factor/Style Investing Defensive
This data set is related to “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). Quality stocks — those of companies that are profitable, growing and well managed — command higher prices on average than those of unprofitable, stagnant or poorly managed companies, which we refer to as “junk.” While that is to be expected, the “quality margin” is puzzlingly modest, although high-quality stocks have consistently delivered high risk-adjusted returns. Indeed, a quality-minus-junk (QMJ) strategy, in which an investor goes long high-quality stocks and shorts low-quality stocks, has earned significant historical risk-adjusted returns in the U.S. and 23 other countries.
This data set is an updated and extended version of the paper data. We provide 10 quality-sorted long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly. We define quality based on various measures of profitability, growth, safety and payout and use the resulting quality scores to construct the QMJ portfolios.
The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.
This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.
Past performance is no guarantee of future results.
Certain publications may have been written prior to the author being an employee of AQR.