AQR Capital Management challenges the idea that systematic value investing is “dead,” arguing that recent underperformance reflects an unusual disconnect between prices and fundamentals rather than a structural breakdown. The paper leans on both theory and empirical evidence to show value remains tied to long-term return drivers, even after a decade of weak results.
Is (Systematic) Value Investing Dead?
AQR
Research
18 Pages
Key Takeaways
Decade Of Underperformance: Value lagged growth for roughly 10 years, marking one of the longest droughts historically, yet similar periods have reversed with strong subsequent excess returns.
Fundamental Gap Expansion: The spread between cheap and expensive stocks widened to extreme levels, with valuation dispersions reaching near historical highs during the drawdown period.
Cross Asset Evidence: Value premiums persist across equities, bonds, currencies, and commodities, with prior research documenting consistent positive returns across multiple decades and regions.
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