AssetGrowth
Asset Growth — Cooper Gulen and Schill 2008
Investment
Quick facts
| Factor ID | AssetGrowth |
| Display name | Asset Growth |
| Family | Predictor |
| Category | Investment |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Cooper Gulen and Schill 2008 |
| Source tables | balancesheet |
| Required fields | total_assets |
| PIT required | yes |
| Coverage | 2011-04-25 – 2026-05-15 · 613,828 rows · 89.6% of panel |
Formula
(total_assets / lag_annual_total_assets) - 1
Year-over-year growth in total assets using point-in-time statements.
China adaptation
Prefer annual fiscal-period comparisons to avoid seasonal quarterly effects.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 181 |
| Monthly mean | 0.0577% |
| Monthly std | 2.8016% |
| Annualized Sharpe | 0.07 |
| t-stat (simple) | 0.28 |
| Hit rate (months > 0) | 51.9% |
| Last 12M compounded | -14.18% |
| Cumulative wealth (start = 1) | 1.034 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +0.35% | 1.210 | 5045 |
| 2025-06 | +0.47% | 1.215 | 5050 |
| 2025-07 | -5.36% | 1.150 | 5046 |
| 2025-08 | -3.34% | 1.112 | 5060 |
| 2025-09 | +3.28% | 1.148 | 5059 |
| 2025-10 | +5.18% | 1.208 | 5086 |
| 2025-11 | -5.50% | 1.141 | 5085 |
| 2025-12 | -2.26% | 1.116 | 5084 |
| 2026-01 | +0.09% | 1.116 | 5079 |
| 2026-02 | +0.78% | 1.125 | 5079 |
| 2026-03 | -5.33% | 1.065 | 5077 |
| 2026-04 | -2.88% | 1.034 | 5108 |
Known data issues
Base effects and restructuring can produce very large growth values.
Notes
Investment effects should be tested with China-specific financing constraints.
See also: Investment family, Factor library, Factor returns.