O’Shaughnessy Asset Management explores whether value investing’s long stretch of underperformance signals structural decline or a cyclical phase tied to technological change. It draws parallels to 1926–1941, suggesting today’s growth dominance may reflect another innovation-driven regime rather than a permanent shift.
Value Is Dead, Long Live Value
O’Shaughnessy Asset Management
Chris Meredith
Research
20 Pages
Key Takeaways
Extreme Relative Underperformance: Russell 1000 Value trailed Growth by -136% cumulatively and -4.3% annualized over 12.5 years ending mid-2019, with an additional -21% lag since 2017.
Historical Regime Parallels: A similar 15-year stretch from 1926–1941 saw Value struggle as Growth dominated, with sector concentration explaining over 50% of relative performance differences.
Sector Concentration Impact: In the earlier regime, 74% of Value exposure sat in Utilities versus 12% in Growth, while modern Value portfolios were heavily tilted toward Financials post-2007.
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