Strategies · Core
Quality Minus Junk
Long a composite of profitable, growing, safe, well-managed names and short the junk — AQR’s QMJ recipe.
Definition
Composite quality (profitability, growth, safety, payout). Long top, short bottom, market-neutral-ish. Overlaps ROE, low beta, and low leverage. The composite is the point — one ratio is not QMJ.
Why it matters
It is the institutional quality factor. Expensive quality vs cheap junk is a relative-value problem in some regimes.
Case
2020–21: quality growth was expensive and still worked until rates rose. QMJ is not immune to a duration shock.
How to read it
Composite definition and valuation of the long leg. Quality at any price is a different book.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- Quality Minus JunkAsness, Frazzini, Pedersen · 2019 · Review of Accounting StudiesThe QMJ factor.
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