switzerlanden
Value ain’t dead

Value ain’t dead

20-05-2020 | From the field
Value stocks have underperformed growth stocks over the past decade. This raises the question whether the value premium still exists. This paper 1 estimates the statistical likelihood of the recent drawdown at 1 in 20, meaning it is unusual, but still well within the range of expected outcomes.
  • David Blitz
    David
    Blitz
    Chief Researcher

Breaking down the value-growth performance into separate components, the authors find that the drawdown is fully explained by changes in valuation spreads. Value has become so cheap relative to growth that its current valuation is in the 97th percentile of the historical distribution. Based on this, the authors conclude that the expected return on value is currently above average.

We appreciate this detailed analysis of the performance of value strategies and share the view that, although painful, the recent drawdown does not imply structural impairment. At the same time, we also try to learn from the recent experience and are working on various ideas to improve value factors.

Finally, the paper focuses on the US market, where the value style has been hit particularly hard due to the rally in big US tech stocks. Value performance has been less bad in international developed markets, and even positive in emerging markets over the past decade.

1Arnott, R. D., Harvey, C. R., Kalesnik, V. and Linnainmaa, J. T., 2019, ‘Reports of Value’s Death May Be Greatly Exaggerated’, working paper.

From the field
From the field

Our researchers publish many whitepapers based on their own empirical studies; they also follow quantitative research done by others.

Read all articles
Subjects related to this article are:
Logo

Disclaimer Robeco Switzerland Ltd.

The information contained on these pages is for marketing purposes and solely intended for Qualified Investors in accordance with the Swiss Collective Investment Schemes Act of 23 June 2006 (“CISA”) domiciled in Switzerland, Professional Clients in accordance with Annex II of the Markets in Financial Instruments Directive II (“MiFID II”) domiciled in the European Union und European Economic Area with a license to distribute / promote financial instruments in such capacity or herewith requesting respective information on products and services in their capacity as Professional Clients. 

The Funds are domiciled in Luxembourg and The Netherlands. ACOLIN Fund Services AG, postal address: Affolternstrasse 56, 8050 Zürich, acts as the Swiss representative of the Fund(s). UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zurich, postal address: Europastrasse 2, P.O. Box, CH-8152 Opfikon, acts as the Swiss paying agent. The prospectus, the Key Investor Information Documents (KIIDs), the articles of association, the annual and semi-annual reports of the Fund(s) may be obtained, on simple request and free of charge, at the office of the Swiss representative ACOLIN Fund Services AG. The prospectuses are also available via the website www.robeco.ch. Some funds about which information is shown on these pages may fall outside the scope of the Swiss Collective Investment Schemes Act of 26 June 2006 (“CISA”) and therefore do not (need to) have a license from or registration with the Swiss Financial Market Supervisory Authority (FINMA). 

Some funds about which information is shown on this website may not be available in your domicile country. Please check the registration status in your respective domicile country. To view the RobecoSwitzerland Ltd. products that are registered/available in your country, please go to the respective Fund Selector, which can be found on this website and select your country of domicile. 

Neither information nor any opinion expressed on this website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco Switzerland Ltd. product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports. 

By clicking “I agree” you confirm that you/the company you represent falls under one of the above-mentioned categories of addressees and that you have read, understood and accept the terms of use for this website.

I Disagree