Value factor

A weighted blend of inverted price-to-book, price-to-earnings, price-to-cash-flow, price-to-sales and EV/EBITDA, so a high score means cheap. A missing multiple drops out of the blend. Part of FactorPulse's FPUS1 model (Style).

The exposure shown is this measure standardized across stocks and taken net of the market and of International, Beta, Size, Long-Term Momentum, Residual Volatility, Liquidity and Growth (position 8 of 18 style factors).

Last 12 months

Full history

History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.

Statistics

Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.

This is not a value index. Value is measured net of International, Beta, Size, Long-Term Momentum, Residual Volatility, Liquidity and Growth, so much of the cheap-versus-expensive spread that style indexes capture shows up in those factors first. In 2022, when value indexes beat growth by a wide margin, this factor was roughly flat; most of its decline came in 2020 and 2023–2025.

Large companies most and least exposed today

Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the factors ranked ahead of it. When the factor return is positive, cheaper names outperform; when it is negative, more expensive names outperform.

What it moves with

← All FPUS1 factors