Reports of Value’s Death May Be Greatly Exaggerated
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