Growth vs value investing: Persistence and time trend before and after COVID-19

Value investing and growth investing allow economic experts to adopt different investment strategies depending on their chosen specialty; the two investment types have been conditioned by the pandemic, changing the trend of investments and their results. This research aims to analyze the behavior and trends of the different investment strategies before and after the health crisis. We use methodologies based on fractional integration and cointegration to analyze the persistence and trend of the series and their relationship in the long run. We find that the shock is long-lived and causes a change in trend; however, we find no evidence of mean reversion. In addition, we use multivariate wavelet analysis to analyze the correlation between both time series, concluding that a growth-based investment strategy is more successful than a value-based investment strategy. We use neural networks to corroborate our results.