This study explores the impact of value-growth investment styles on risk-adjusted returns of TSE-listedstocks. We use three widely-used benchmarkfactors for value-growth investment styles, which are price-book ratios (PBR), price-sales ratios (PSR), and price-earnings ratios (PER). In addition, the Sharpe ratio is used as a proxy of risk-adjusted returns in our investigation.Our ANOVA findings show that theaverage Sharpe ratios of variousfactor levels are not identicalsignificantly for all the three respective factors, PBR, PSR and PER. In other words, various degrees of value-growth investment style have significant impact on risk-adjusted returns of stocks. In general, the lower the levels of three factors are, the higher the risk-adjusted returnswill be. However, we find this performance trend stability is the highest for PBR, next for PER, and the lowest for PSR. It is also notablethat the average Sharpe ratio of the lowest PE level group is abnormally low, showing that investors tend to castrelatively poor risk-adjusted evaluation on listed companies with negativeearnings.