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Academic audit

Provisionalequity XS combo

Momentum Factor Combined with Asset Growth Effect

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation
Gate 1
Survivorship-free
free
clean panel
Gate 2
Placebo ≥ P95
P100
outranked ~200 of 200 baskets
Gate 3
Cost-aware net
RF +1.74
positive net, certified
Provisional
Worst 12-month leg (RF)-0.96
−1.00 floor0
Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.
Clears the gates but stays provisional — too year-concentrated or rebalance-fragile to certify.

This is a cross-sectional equity factor that ranks stocks by price momentum but restricts the signal to firms that have expanded their assets rapidly. The underlying paper reports that the momentum effect is stronger among high asset-growth companies.

What we found

Momentum measured among high asset-growth firms does show real rank-skill: it clears a survivorship-free placebo at the 100th percentile, meaning the ranking is not an artifact of random selection or lucky survivors. However, it is fragile. Its own grading gate marks it SLEEVE_ONLY rather than confirmed, because its worst-year risk-adjusted return is negative (-0.96) — a losing, crash-prone year. The profit is also heavily concentrated: the top two years (2008 and 2022) account for roughly two-thirds of the total, though it stays positive across the other 14 up-years excluding 2008. On this basis it is provisional — a possible diversifying factor-leg, not a confirmed winner and not a standalone tradeable strategy.

How we tested it
2005–2026 test windowmodelled liquidity-aware costssurvivorship free
  • Tested on a survivorship-free 1077-name US common-stock panel, 2005-2026. Realistic modelled costs.
  • Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)
Source: Nyberg & Poyry (2014), "Firm expansion and stock returns" (momentum among HIGH asset-growth firms); QuantPedia
Read the paper ↗
← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.