Asset growth

✓ alive

AssetGrowthInvestment· Accounting data

Annual growth rate of total assets (at)

A recomputed, out-of-sample-scored replication of this factor is available — verdict dormant, OOS Sharpe 0.03.

IS Sharpe (1952–2007)

0.954

+11.9% p.a.

OOS Sharpe (2008–2024)

0.608

+7.3% p.a.

Sharpe decay

+36.3%

(IS − OOS) / |IS|

IS vol

12.5%

annualized

Cumulative return (last 40 years, monthly)

+11740%

1984-012024-12

Publication details

AuthorsCooper, Gulen and Schill

PaperCooper, Gulen and Schill (2008)

JournalJournal of Finance

Publication year2008

Original sample1968–2003

IS T-statistic8.45