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The Structural Return Argument Against Value Investing

mdickens.me · published 2 March 2026

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https://www.tandfonline.com/doi/full/10.1080/0015198X.2020.1842704
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https://dx.doi.org/10.2139/ssrn.3554267
dx.doi.org
https://www.aqr.com/Insights/Perspectives/Is-Systematic-Value-Investing-Dead
aqr.com
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
mba.tuck.dartmouth.edu
https://en.wikipedia.org/wiki/Trapezoidal_rule
en.wikipedia.org
https://www.gmo.com/americas/research-library/risk-and-premium-a-tale-of-value_whitepaper/
gmo.com
https://doi.org/10.1080/0015198X.2020.1842704
doi.org
https://en.wikipedia.org/wiki/Coefficient_of_determination
en.wikipedia.org
https://github.com/michaeldickens/FFFactors/blob/master/replication_code/Exhibit9.py
github.com
https://www.lsvasset.com/pdf/research-papers/Level+Persistence_of_Growth_Rates_FINAL.pdf
lsvasset.com
https://verdadcap.com/archive/persistence-of-growth
verdadcap.com
https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
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https://www.tandfonline.com/action/downloadSupplement?doi=10.1080%2F0015198X.2020.1842704&file=ufaj_a_1842704_sm8957.pdf
tandfonline.com
https://github.com/michaeldickens/FFFactors/blob/master/replication_code/ValueAttribution.hs
github.com
https://dx.doi.org/10.2139/ssrn.3442539
dx.doi.org
https://doi.org/10.1080/0015198x.2020.1842704
doi.org
https://doi.org/10.1111/1540-6261.00540
doi.org