Price & Market BehaviorCore researchlive in productionNew

Asset Growth Anomaly

Updated quarterlyData needs: lowlong onlyshort onlylong short

2008

#95 asset_growth_anomaly — Cooper-Gulen-Schill 2008 RFS investment-anomaly leg.

In plain terms

Companies that grow their balance sheet aggressively (lots of new assets, M&A, capex spikes) tend to under-deliver the next 1-3 years — the market trusted the empire-building story too much. Bet on the boring low-growth names instead.

How it works

Firms with the highest YoY total-asset growth subsequently underperform low-growth peers by ~8% ann. (Cooper-Gulen-Schill 2008 RFS). Captures managerial overconfidence, empire-building, and overpayment for acquisitions that the market under-discounts at the time of expansion and corrects over 1-3 years. Anchors the FF5 CMA factor leg. Replicated internationally (Watanabe-Xu-Yao-Yu 2013 ROF; Titman-Wei-Xie 2013).

Live results

13 times picked on its own · 14 times inside a blend (12 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 14 such blended picks (12 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Fundamentals quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.

Expected edge

Reported return: ~8% ann. decile spread; ~3-4% OOS
Tested over: 1968-2003

~8% ann. high-vs-low decile spread (1968-2003); 3-4% ann. post-publication OOS

Example tickers where this is likely to fire

WMT JNJ PG

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

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High-quality stocks (good margins, high ROE) that are ALSO trending up tend to beat low-quality losers. Goes long only when both check out.

Gross ProfitabilityPrice & Market Behavior

Companies with high gross profit / total assets keep beating peers — it's the cleanest measure of 'is this business actually good'.

Accruals QualityPrice & Market Behavior

Earnings backed by cash flow are repeatable; earnings backed by accruals (paper changes in receivables/inventory) fade. Short high-accrual names.

Piotroski F ScorePrice & Market Behavior

Score each company on 9 boring-but-important accounting checks (positive profit, improving margin, no new shares issued, less debt, etc.). Stocks that pass 7-9 of them are quality compounders; stocks that pass 0-2 are distressed. Long the strong, short the weak.

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