// STUDY RESULT · 1993-12 TO 2026-07
Asset Growth Anomaly
TRADE-OFFFirms that grow total assets fastest earn lower later returns than slow growers and shrinkers. The authors lean toward investors overextrapolating growth.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 10.1% | 9.0% |
| Return per unit of risk (Sharpe) | 0.66 | 0.65 |
| Worst fall (max drawdown) | -54.4% | -52.6% |
// GROWTH OF $1, LOG SCALE
AMBER: THE STRATEGY · GREY: $SPX BUY & HOLD
Tested on years it never saw (from the split): 10.4% a year against 12.4% for the benchmark; Sharpe 0.67 in the training years, 0.64 after.
After 25 bps of trading costs: 8.9% a year. EDGE OVER RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 6.4% | 19.7% |
| 2000s | 9.1% | -2.6% |
| 2010s | 12.1% | 11.6% |
| 2020s | 12.0% | 14.1% |
// 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
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 19:41 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.