This article analyzes and rejects the two main responses to value’s sustained underperformance. First, although it is true that value is currently relatively cheap in the sense that percentage value spreads are wide, historically this indicates higher risk much more than it does higher return. The simple difference of the valuations for cheap versus expensive stocks is a more reliable predictor of returns than the percentage spread, but this metric is not particularly elevated at present. Both perspectives suggest that the allocation to value should be reduced in the current environment. Second, the author provides both theory and evidence against enhanced value. It is far preferable to treat new data and ideas as stand-alone alpha sources rather than as fixes to value. TOPICS: Performance measurement, risk management Key Findings • Elevated percentage value spreads predict higher risk, not higher returns. • Simple value spreads are better at predicting returns, but this spread is modest in the current environment; again, the outlook for value contains more risk than return. • Quantitative researchers and portfolio managers should emphasize new differentiated sources of alpha rather than trying to fix value.

中文翻译：

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上市股票的价值：这只是一个故事

本文分析并拒绝了对价值持续表现不佳的两个主要回应。首先，尽管从百分比价值点差的广泛意义上说，当前价值相对较低是正确的，但从历史上看，这表明较高的风险远大于其较高的回报。廉价股票与昂贵股票的估值的简单差异是回报率比点差百分比更可靠的预测指标，但该指标目前并未特别提高。两种观点都建议在当前环境中减少对价值的分配。其次，作者提供了反对增加价值的理论和证据。将新数据和想法视为独立的Alpha来源而不是作为价值的固定手段，这是可取的。主题：绩效评估，风险管理的主要发现•较高的百分比价差预测较高的风险，而不是较高的回报。•简单的价差可以更好地预测收益，但是在当前环境下这种价差很小。同样，价值前景包含的风险大于回报。•定量研究人员和投资组合经理应强调新的alpha差异化来源，而不是试图固定价值。