Background: As the goal of most investors is to generate excess returns as compared tothe broad market, different investment strategies to perform such a feat have been studied thoroughly for decades. One strategy which has performed particularly well is the value investment strategy, where securities that appear cheap relative to some of their fundamental values are invested in. More recently, the growth investment strategy, where securities are instead bought if some of their fundamental values are expected to rise rapidly in the future, has caught more attention from investors. As the efficient market hypothesis suggests that no investment strategy should be able to consistently generate excess returns without any luck involved, it is of interest to examine whether the aforementioned strategies act in congruence with the hypothesis. Purpose: The purpose of this study is to analyze if the value and growth investment strategies generate superior returns as well as risk-adjusted excess returns when compared to the Swedish stock market. The study also aims to analyze how the performance of the strategies varies during periods of different market sentiments. Methodology: This study used a quantitative method in its data collection and was conducted using a deductive approach. Six synthetic portfolios were created to test the strategies’ performance. The stocks which constituted the synthetic portfolios were chosen based on their P/E and P/B values from the Refinitiv Eikon platform, and the portfolios were rebalanced annually over the entire analyzed time period. The Swedish All-Share index, OMXSGI, was used as a proxy for the market portfolio. Conclusion: Based on the results of the study, the growth portfolios, more so than the value portfolios, were found to generate greater statistically significant returns as compared to the broad market during the analyzed time period. Although not all portfolios generated excess returns, the study may still add to the evidence that disproves the efficient market hypothesis.

This thesis focuses on indentification of financial analysis indicators of small firms. These indicators should help investors to use growth investing method within their first pick stocks. Discussed indicators are from capital market, rentability, indebtedness and liquidity areas. The resulting values of these indicators are interpreted accordingly to the strategy of the company. That helps to identify the company's strengths and weeknesses. This thesis contains of basic theoretical knowledge of growth investing and specifics of small companies. It also comprises of results of older empirical studies in which growth and value investing was compared. The growth investing methods by Jime Slater. There were used 14 historically significantly above average growing companies registred in NASDAQ for the purpose of analysis.