Value (HML)
⚠ weakenedValue· Price data
High-minus-low book-to-market: value stocks (high B/M) outperformed growth stocks. Core to the Fama-French three-factor model. The premium has significantly weakened post-publication, particularly over 2007–2020, though debate continues about whether the anomaly is risk or mispricing.
IS Sharpe (1926–1991)
0.465
+4.3% p.a.
OOS Sharpe (1992–2026)
0.254
+2.9% p.a.
Sharpe decay
+45.4%
(IS − OOS) / |IS|
IS vol
9.2%
annualized
Cumulative return (last 40 years, monthly)
+81%1986-012026-04
Publication details
PaperFama & French (1992, 1993)
JournalJournal of Finance
Publication year1992
More Value anomalies
Predicted div yield next month+1.42Net Payout Yield+0.89Operating Cash flows to price+0.68Book to market using December ME+0.68Book-to-market and accruals+0.65Sales-to-price+0.64
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