This post updates the value spread chronicled in our series of posts dating back to December 2021 with data through 12/31/2022. The fourth quarter of 2022 saw value recover from the bout of temporary insanity that gripped some portion of the market over the summer, but the spread ends 2022 very much still in rarified territory.
Q4 2022 hedge fund letters, conferences and more
More excitingly for 2023, value’s returns in 2022 were extremely strong, and the spread only moved from roughly the 100th percentile to the 94th, which makes us very optimistic about the prospects of continued normalization in 2023 and beyond.
Global Value Spreads
Hypothetical Industry-and-Dollar-Neutral All-Country Value Portfolio
Source: AQR. January 1, 1990 – August 3, 2022.
Article by Cliff Asness, AQR
