Strategy #0000000067 · Corporate investment and asset expansion
Asset growth and corporate investment factor
Measure annual total-asset growth, then enter separate long- and short-basket return scenarios.
Asset-growth strategies often go long firms with lower past asset growth and short those with higher growth. Cooper, Gulen and Schill document a negative relation between annual total-asset growth and subsequent stock returns. Explanations include investment/expected-return links and overoptimism; firm lifecycle, delisting bias and financing also matter.
Growth can reflect productive investment; the asset-growth factor is not a universal rule across firms and industries.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What are the investment-signal and assumed return spread between low- and high-asset-growth baskets?
Ethan compares two baskets: total assets rise from 1,000 to 1,030 in the low-growth group and from 1,000 to 1,200 in the high-growth group.
The simulator calculates 3% and 20% growth, then subtracts the entered high-growth short-basket return and costs from the low-growth long scenario.
Asset growth is not the same as capital expenditure; mergers, external financing and accounting classifications change assets. Historical results may concentrate in small, illiquid or delisted firms.
- Low-growth basket asset growthEnter prior/current total assets and long/short returns for two baskets to inspect the growth signal and net assumed spread.
- High-growth basket asset growthGrowth is an instructional proxy; basket returns, universe and costs are assumed, not a portfolio backtest.
- Assumed long-short return after costsIllustrative expiry outcome.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
g_A=100\left(\frac{A_t}{A_{t-1}}-1\right),\quad R_{LS}=R_{low\ growth}-R_{high\ growth}-Cost
A_t and A_(t−1) are current/prior total assets; growth sorts and subsequent returns require point-in-time data.
Greeks: the directional intuition
- 財報時點
- Measures sensitivity to implied volatility.
- 下市與融資
- Measures sensitivity to implied volatility.
- 行業差異
- Measures sensitivity to implied volatility.
g_A=100\left(\frac{A_t}{A_{t-1}}-1\right),\quad R_{LS}=R_{low\ growth}-R_{high\ growth}-Cost
Practical context · published observations
Asset growth and corporate investment factor: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
成長率只作教學代理；分組報酬、公司範圍和成本都是假設，非投資組合回測。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related methods use different signals and assumptions.
Compare the rule, exposure and implementation limits.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Total asset growth | Firm expansion | Sorts on annual asset growth. | Mergers and balance-sheet changes contaminate the signal. |
| Capital-expenditure growth | Fixed investment | Measures acceleration in capital spending. | Depreciation, asset age and industry effects. |
| Operating-asset growth | Net operating assets | Focuses on operating rather than total assets. | Classification and working-capital cycle risk. |
Growth is an instructional proxy; basket returns, universe and costs are assumed, not a portfolio backtest.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.