Quant chart: Value accelerates to strongest start in decades

Quant chart: Value accelerates to strongest start in decades

16-05-2022 | インサイト

Value has achieved the best start to a calendar year in over 35 years. Despite this rally, the Value factor remains attractive both in terms of absolute and relative valuations.

  • Matthias Hanauer
  • Sebastian  Schneider

Following the harsh ‘quant winter’ of 2018-2020, spring sprung for value investing in 2021, especially over the first quarter. In similar, but more pronounced fashion, value has enjoyed another strong start to a year in 2022. Indeed, value stocks have significantly outperformed their growth peers year to date, supported by wide valuation spreads, heightening growth concerns for firms with lofty valuations,1 and the tailwind provided by the narrative around value and interest rates.

Figure 1 | Value is quick off the blocks in 2022

Source: Refinitiv, Robeco. The figure shows the cumulated return spread per calendar year between the top and bottom quintile portfolios of an enhanced value strategy. The investment universe consists of constituents of the MSCI Developed and Emerging Markets indices. Before 2001, we use the FTSE World Developed index for developed markets (going back to December 1985), and for emerging markets, the largest 800 constituents of the S&P Emerging BMI at the semi-annual index rebalance (going back to December 1995). The portfolios are equally weighted and rebalanced monthly. The sample period is January 1986 to April 2022.

But how does the current rally fare against the value resurgence witnessed following the tech bubble of the late 1990s? Figure 1 depicts the cumulative performance of the enhanced value factor2 per calendar year. Interestingly, 2022 marks the best start to a year in our sample period of just over 35 years, surpassing the strong performance that was seen at the beginning of the 21st century.

Value remains attractive both in absolute and relative terms

Despite the recent rally, the spread in valuation multiples between expensive and cheap stocks remains at exceptionally high levels, similar to those observed at the height of the tech bubble in the late 1990s. Moreover, value is also attractively priced in absolute terms as its forward price-to-earnings ratio is below 10x.

1 See: Wittenstein, J. April 2022, “Stock market meltdowns have FAANGs looking increasingly toothless”, Bloomberg.
2 We define value as in Blitz, D. C., and Hanauer, M. X., January 2021, “Resurrecting the value premium”, Journal of Portfolio Management. More specifically, the enhanced value strategy is based on a composite of book-to-market (R&D adjusted), EBITDA/EV, CF/P, and NPY metrics. Value stocks are sorted into quintile portfolios based on the valuation composite, in a region and sector neutral manner for developed markets and in a country neutral manner for emerging markets. Quintile portfolios are equal-weighted and rebalanced monthly. Our sample comprises the standard MSCI All Countries Index constituents, i.e., large and mid-cap stocks across both developed and emerging markets.

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当資料は情報提供を目的として、Robeco Institutional Asset Management B.V.が作成した英文資料、もしくはその英文資料をロベコ・ジャパン株式会社が翻訳したものです。資料中の個別の金融商品の売買の勧誘や推奨等を目的とするものではありません。記載された情報は十分信頼できるものであると考えておりますが、その正確性、完全性を保証するものではありません。意見や見通しはあくまで作成日における弊社の判断に基づくものであり、今後予告なしに変更されることがあります。運用状況、市場動向、意見等は、過去の一時点あるいは過去の一定期間についてのものであり、過去の実績は将来の運用成果を保証または示唆するものではありません。また、記載された投資方針・戦略等は全ての投資家の皆様に適合するとは限りません。当資料は法律、税務、会計面での助言の提供を意図するものではありません。




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