Does Value Fund Beat Growth Fund

The definition of investment style and which investment style can bring excess return have been studied for a long time.At the beginning,scholars judged the investment style of a single stock and investigated which kind of stock can bring excess return.However,with the continuous development and application of portfolio theory,scholars began to apply this method to the stock portfolio-Fund.Research shows that the investment style of both stocks and funds is not sustainable and will be affected by the market environment or fund performance.In addition,in the case of classification according to different standards,the performance of funds with different investment styles is also different.Medium and short-term growth funds can bring excess returns,but in the long run,value funds are better.However,most scholars choose few samples in the research of fund investment style.After combing the literature and research results of previous experts and scholars,this paper selects all stock funds from 2009 to 2021 as samples,takes the top ten heavy position stocks and their P/E ratio,P/B ratio,dividend ratio and other relevant financial indicators as the basis for dividing the fund investment style,and uses the LSV grouping method to group the stock funds.The index selected in this paper to measure the rate of return of the fund is the cumulative growth rate of unit net worth rolling forward for one year in each quarter.This index takes into account the reinvestment of fund dividends.Rolling forward for one year can also better measure the medium and short-term operation of the fund;At the same time,the CSI300 index is selected as the performance comparison benchmark,because its constituent stocks have a wide coverage and strong growth,which is in line with the orientation of institutional investors.After grouping,we calculate the income of value strategy portfolio and growth strategy portfolio on each node,make a comparative analysis,and test the income difference by using Fama French three factor model to see whether there is significant difference between different styles of funds α profit;In addition,we also use sharp index to measure the performance of different groups of funds.The results show that growth strategy funds can significantly beat value strategy funds under the grouping of P/E ratio and P/B ratio;Compared with the growth strategy fund under the corresponding indicators,the value strategy fund with heavy positions in high dividend yield stocks can not bring excess returns.Under these three indicators,value funds are better.In addition,the results are generally in line with the principle of "high risk and high return",and stock funds can generally bear lower risks and obtain higher returns than the market,which shows that China’s fund managers have the ability to select high-quality stocks to serve investors.There are three main innovations in this paper: first,considering the drift of fund investment style,we do not track specific funds,but reclassify the fund investment style according to relevant indicators at different time nodes.Second,this paper has advantages in data.It selects all qualified stock funds from 2009 to2021,with long time span,large sample size and new data quality,and also makes strict and complex processing of the data.Third,this paper focuses on the investment style of funds,which has made further development on the phenomenon that scholars mainly studied the investment style of stocks in the past.At the same time,this paper also has some shortcomings,such as low sample frequency and not considering all fund positions,which will be further improved in the future.In the case of different fund investment styles,the main contribution of the article is to obtain the latest data,which provides a longer time span for the empirical research.The research ideas and methods of this paper also make a useful supplement to the previous research.At the same time,the research results of this paper are of great reference significance for both individual and institutional investors.