Reports of Value’s Death May Be Greatly Exaggerated

Paper: SSRN 3488748

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

Complexity vs Empirical Score

• Math Complexity: 3.5/10
• Empirical Rigor: 7.0/10
• Quadrant: Street Traders — practical and empirical, lighter on theory

Why this score: 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.

Research Flowchart

  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