Growth and Value Fund Performance Comparison

Lim Min and Aminah Shari and Leah, Tseu Lee Yah and Lovenigasri Rajendran and Shirley Ling and Teo, Qi Mei (2022) Growth and Value Fund Performance Comparison. International Journal of Academic Research in Accounting, Finance and Management Sciences, 12 (2). pp. 660-671. ISSN 2225-8329

[img] Text

Download (39kB)
[img] Text
Full text.pdf
Restricted to Registered users only

Download (506kB)


This article examines and contrasts the performance of small-cap growth and small-cap value funds in the United States. Between May 2016 and May 2022, a total of 139 small-cap growth funds and 97 small-cap value funds were collected via Yahoo Finance. The weekly data was then used to calculate the Treynor ratio, Sharpe ratio, and Jensen alpha. The finding shows that US small-cap value funds appear to be superior to small-cap growth funds. The Sharpe and Treynor ratios demonstrate the higher risk-adjusted performance of small-cap value funds relative to their benchmarks. whereas the Sharpe ratio is the only indicator of outperformance for small-cap growth funds. Regarding the Jensen alpha, value funds possessed positive alphas and outperformed the benchmark. Therefore, the results of this study could aid investors in picking a portfolio with superior risk-adjusted performance.

Item Type: Article
Uncontrolled Keywords: Growth Funds , Value Funds , Treynor Ratio , Sharpe Ratio , Jensen Alpha
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation
Divisions: SCHOOL > Labuan School of International Business and Finance
Date Deposited: 27 Sep 2022 12:09
Last Modified: 27 Sep 2022 12:09

Actions (login required)

View Item View Item