Value’s Lost Decade: Learning from Value Strategies’ Behavior over Two Contrasting Decades

Abstract

After more than a decade of unattractive performance and “neglect,” value strategies became a favorite in 2021 and remained so in early 2022. Whether this trend lasts, and if so, for how long are important questions to ask. This article, however, does not try to answer them. Instead, its purpose is to dig into the performance of value strategies to understand what affected performance and what caused the prolonged period of value’s underperformance. Although the tide may have turned for value, there is a useful lesson to be learned from value’s behavior over this period. The authors dissect the performance of a value strategy into its contributors for each of the past two decades to understand what caused the strategy to outperform in one decade and underperform the next.