The quality brake made momentum holdable. The teardown asks what, exactly, it cost you to fit it.

Raw momentum's superpower, from its own teardown, was an almost flawless sort: a rank correlation near minus one. The whole promise of adding a quality filter is that you keep most of that magic while losing the junk. So the first thing to check is whether the magic survived.

The brake calmed the ride but blurred the signal

It did not survive intact. Line the filtered universe up by its combined score and the clean staircase of pure momentum is gone, replaced by a scramble: a rank correlation of only about −0.43, far weaker than raw momentum's −0.96. Insisting on profitability threw out some of the very high flyers that made momentum's ranking so sharp, and the sort dulled as a result. You did not just remove the junk. You removed some of the signal with it.

Concentrate it and the edge falls apart

The dulled sort has a sharp consequence. Because the ranking no longer cleanly identifies the best names, betting hard on the top of it is dangerous. Squeeze into the ten highest scorers and the return collapsed to under 3% a year, a near total surrender of the edge. This strategy only works held broad, across thirty names or more, where the weak signal has room to average out. It is the opposite of a high conviction screen.

Strip it down and it is nearly a plain small cap fund

The most sobering number is the last. Measured against its closest index, a smaller company benchmark it tracked at about 0.93, this screen added almost nothing, an alpha within a whisker of zero. So the quality filter did not buy you a fresh source of return. What it bought, and all it bought, was a smoother ride: it took a wild small cap momentum book and turned it into a calmer one, at essentially the market's small cap return. That is a real service, but it is a behavioural one, not an alpha one.

A behavioural upgrade, not a better engine

So what did the quality brake really do? It did not sharpen momentum's edge; it softened it, trading sorting power and some return for a gentler, more owneable ride, and ending up close to a plain small cap index with less drama. Whether that is a good trade depends entirely on you. If raw momentum's 67% crashes would have shaken you out, a calmer version at the market's return that you actually hold is worth far more than a better one you abandon. But do not mistake the comfort for an edge. The honest version of this strategy is: momentum, made survivable, at the cost of the very thing that made momentum great.

What it held, and the worst it would have handed you

Two last checks make the risk concrete: what the basket was actually made of, by company size, and, instead of the single drawdown path, the worst fall you would have suffered no matter which month you started and held for five years.

So we took it to Krest, and ran it through the whole test.