In recent years, Value has underperformed other factors in global equity markets. However, the sources of Value performance are not identical. The purpose of this analysis is not to identify the reasons for the slump in Value, but to analyse its performance by region and the differences in the sources of Value performance.
Our analysis shows that over the last 20 years, conventional Value in the US has been "bulked up" by returns attributable to non-Value factors and industries, with the return contribution of Value itself being low.
In contrast, in Asian developed countries (excluding Japan) and emerging markets, conventional Value was mainly attributed to Value itself.
Over the past two decades, conventional Value has shown positive premiums in five regions, but when observed in “pure” Value terms (which exclude the impact of non-Value factors), the US had almost zero returns.
