Perspective

The Bubble Has Not Popped

January 4, 2023 - Cliff Asness

This post updates our value spread with data through the end of 2022. The fourth quarter of 2022 saw value recover from the bout of temporary insanity that gripped some portion of the market over the summer, but the spread ends 2022 very much still in rarified territory – at the 94th percentile, to be precise. More excitingly for 2023, value’s returns in 2022 were extremely strong, and the spread only moved from roughly the 100th percentile to the 94th, which makes us very optimistic about the prospects of continued normalization in 2023 and beyond.

White Paper

Value: Why Now? Capturing the Comeback in Its Early Innings

Q1 2023

Value has delivered attractive long-term returns but has also weathered difficult short-term periods. While these times are painful for investors, the subsequent recoveries are lucrative for those that stick with the factor. We summarize the evidence for why we believe long/short value continues to be an exceptional go-forward opportunity and how investors can adapt their portfolios accordingly.

Perspective

Still Crazy After All This YTD

May 9, 2022 - Cliff Asness

Over these additional three months, value’s returns, as we measure them, have continued apace. Since February, the value spread has fallen slightly, though it remains near its tech bubble peak, at around a 95th percentile. Reminder — a massive valuation dislocation says very little about the timing of when it falls back to earth. But it’s nice to see it start and still leave the spread incredibly high.

Perspective

That’s It, That’s the Update

February 4, 2022 - Cliff Asness

Over these past two months, value’s returns, as we measure them, have been incredibly strong. This has killed the value spread. That is, it’s about as high as it was in the tech bubble. Just not as high as a few months ago. Yes, “killed” was sarcasm.

Perspective

That’s It, That’s the Blog

December 16, 2021 - Cliff Asness

They say a picture is worth 1000 words. I’m embracing the concept in this post, which is just a single graph presenting the value spread constructed using the methodology that most closely reflects how we actually view value at AQR. Spoiler alert: the spread continued to explode higher in 2021. Despite this, we still made some money on value this year, which makes us very excited for 2022 and beyond. Also, if we’re wrong, I think I can make an NFT of this graph and really cash in.

Perspective

Is (Systematic) Value Investing Dead?

May 8, 2020

When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the medium-term odds are rather dramatically on value’s side.

Journal Article

How Do Factor Premia Vary Over Time? A Century of Evidence

July 2, 2019 - Antti Ilmanen Ronen Israel Rachel Lee Tobias J. Moskowitz Ashwin Thapar

We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.

Journal Article

Deep Value

December 4, 2017 - Cliff Asness John M. Liew Lasse H. Pedersen Ashwin Thapar

We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.

Journal Article

Fact, Fiction and Value Investing

November 5, 2015 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz

Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.

Journal Article

Value and Momentum Everywhere

June 1, 2013 - Cliff Asness Tobias J. Moskowitz Lasse H. Pedersen

We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.

Journal Article

The Devil in HML's Details

June 1, 2013 - Cliff Asness Andrea Frazzini

This paper challenges the standard method for measuring “value” used in academic work on factor pricing.