Why is value such bad value? Value investing – buying stocks that look cheap relative to their fundamentals – has always paid off in the long run. Since the collapse of Lehman Brothers in 2008, however, value obdurately refuses to perform.

The most popular excuse is the wretched performance of financial stocks. Many value investors bet on bank stocks to recover. They have not done so, despite looking cheap. But that is not all of the story. In the eurozone this year, stocks with low price/book multiples – classic value picks – have lagged behind the wider market by 5.3 percentage points. The underperformance is 2.5 percentage points even when financial stocks are excluded, London-based Style Research notes.

The trend is no better in the US. Style’s analysis of different value indicators shows that stocks with low multiples to book value, earnings, and sales (classic indicators of value) have underperformed this year: by a fat 3 percentage points in the case of those with low price/book multiples. Stocks with high dividend yields – another value favourite – have outperformed by 2.8 percentage points. Vanguard’s US high dividend yield exchange traded fund has risen by 2.5 per cent this year, compared with falls of 2.4 and 7.9 per cent respectively for the Russell growth and value indices. Globally, MSCI’s high-dividend index is up 2.3 per cent, while the market is down 4.3 per cent.