Reports of Value’s Death May Be Greatly Exaggerated

ArXiv ID: ssrn-3488748 “View on arXiv”

Authors: Unknown

Abstract

Value investing, as defined by the Fama–French HML factor, has underperformed growth investing since 2007, producing a drawdown of 55% as of mid-2020. The under

Keywords: Value investing, HML factor, Underperformance, Drawdown, Equities

Complexity vs Empirical Score

• Math Complexity: 3.5/10
• Empirical Rigor: 7.0/10
• Quadrant: Street Traders
• Why: The paper uses standard finance statistics (drawdowns, percentiles, factor decomposition) rather than advanced mathematics, but its arguments are heavily grounded in empirical data analysis (55% drawdown, capitalization of intangibles, 2.2% annual return improvement, FANMAG stock attribution) and historical backtesting.

  flowchart TD
    A["Research Goal<br>Why has value investing underperformed?"] --> B["Methodology<br>Long-short HML factor portfolio"]
    A --> C["Data Inputs<br>Fama-French HML factor<br>2007-2020 period"]
    B --> D["Computational Process<br>Calculate cumulative returns & drawdown"]
    C --> D
    D --> E["Key Finding<br>55% drawdown observed"]
    D --> F["Key Finding<br>Value underperformed growth"]
    E --> G["Outcome<br>Value's underperformance<br>is severely underestimated"]
    F --> G