Source: Reproduces the asset growth anomaly from Cooper, Gulen & Schill (2008), Journal of Finance
Built on the asset growth anomaly — companies that grow total assets more slowly tend to deliver higher future returns, the origin of the CMA factor in the Fama-French 5-factor model — with profitability layered on (gross profit / total assets of 0.33+, ROE of 10%+). The profile is "not expanding, but earning well on the assets it already has." Shrinking assets can also mean a shrinking business, so the profitability conditions are what make this screen work; drop them and it falls apart.
Free, no login. The button opens the screener with the above conditions applied.
Data comes from annual securities reports disclosed on EDINET (Japan FSA), via EDINET DB. Price-related values are as of each company's fiscal year-end (back-calculated from the disclosed trailing PER), not live quotes. Coverage: all TSE-listed companies, with names added progressively.
Empirical finding that companies with slower total-asset growth tend to have higher future returns — the origin of the CMA (investment) factor in the Fama-French 5-factor model. The original paper compares the lowest decile of asset growth; a simple proxy here is flat-or-declining YoY growth (0% or below). (Source: Cooper, Gulen & Schill (2008), Journal of Finance)
Gross profit / total assets. A profitability metric dubbed "the other side of value" — it correlates weakly with PBR-style cheapness metrics, making it a good complement. 0.33+, close to the original paper's top-tier threshold, is used here as a reference value (not rigorously re-validated on Japanese data). (Source: Novy-Marx (2013), Journal of Financial Economics)
Net income divided by shareholders' equity — the central profitability metric for how much a company earns on the money shareholders put in. In Japan 8% has been a common bar since the Ito Review (2014). Note that thinner equity (i.e. more debt) mechanically raises the figure, so without reading it alongside the equity ratio it is easy to mistake leverage for earning power. (Source: Standard financial ratio (the 8% bar comes from the Ito Review, Japan METI, 2014))