// STUDY RESULT · 1998-01 TO 2026-09

Asset Growth Anomaly

TRADE-OFF

Firms that grow total assets fastest earn lower later returns than slow growers and shrinkers. The authors lean toward investors overextrapolating growth.

How this run differs from the source: Long only, 30 names, with an ROE floor the paper does not have; most of its spread came from the high-growth short side.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	11.9%	9.3%
Sharpe ratio	0.68	0.66
Max drawdown	-48.0%	-50.9%

// GROWTH OF $1, LOG SCALE

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

Out-of-sample (from the split): CAGR 8.8% against 14.0% for the benchmark; Sharpe 0.78 in-sample, 0.53 out-of-sample.

After 25 bps of trading costs: 10.4% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	1.4%	20.9%
2000s	17.4%	-0.8%
2010s	9.9%	14.0%
2020s	10.1%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*4.3%27.2%

19997.3%21.0%

20009.0%-9.1%

200127.2%-11.9%

20021.9%-22.1%

200365.3%28.7%

200428.0%10.9%

200520.4%4.9%

200623.6%15.8%

2007-13.7%5.5%

2008-25.3%-37.0%

200963.4%26.5%

201024.4%15.1%

2011-4.1%2.1%

201224.6%16.0%

201321.4%32.4%

20142.9%13.7%

2015-13.0%1.4%

201624.0%12.0%

201717.4%21.8%

2018-6.2%-4.4%

201918.7%31.5%

202011.2%18.4%

202114.5%28.7%

2022-15.9%-18.1%

202314.9%26.3%

202415.8%25.0%

202522.6%17.9%

2026*4.5%11.8%

Losing years: 2007 (-13.7%), 2008 (-25.3%), 2011 (-4.1%), 2015 (-13.0%), 2018 (-6.2%), 2022 (-15.9%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Cooper, Gulen & Schill (2008), Journal of Finance · 2008

Asset growth = total assets at year t-1 / year t-2 - 1
Sort each June into deciles; hold one year
Long lowest-growth decile, short highest

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 2026-11-07 08:43 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