Value Is Dead, Long Live Value

O’Shaughnessy Asset Management

Research

20 Pages

O’Shaughnessy Asset Management explores the long history and empirical strength of value investing, arguing that price remains one of the most reliable predictors of future returns despite long periods of underperformance. The paper highlights how cheap stocks have historically delivered excess returns, even as recent decades challenge investor conviction and patience.

Key Takeaways

Cheapest Stocks Outperform: The lowest valuation decile generated about 4.4% annual excess returns over 55 years and outperformed in 79% of rolling 3-year periods.
Recent Underperformance Stretch: Value trailed growth by -136% cumulatively from 2007 to mid-2019, including an additional -21% lag since 2017.
Composite Factors Improve Results: Multi-factor value strategies outperform single metrics, with combined approaches delivering stronger risk-adjusted returns than standalone valuation signals across decades.

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