Global Value Spreads
Hypothetical AQR Industry-and-Dollar-Neutral All-Country Value Portfolio
Q2 2022 hedge fund letters, conferences and more
This adds another three months of data to the May entry in our series of value spread updates. Over the past two months, some portion of the market went temporarily (I hope) insane, punishing value, as we measure it, to the point where the value spread has retraced much of its modest narrowing since the beginning of the year.
Returns on value are still strong YTD (they’ve done better than you’d guess from looking at these spreads). But not as strong as they were.
The world doesn’t steadily move a little bit towards what we think is rational each day – it’s not a linear process. But this changes nothing about our belief in the very positive outlook for value, and wider spreads make us a bit more excited than before.
