Value investing statistics at a glance
Value investing is often discussed as a philosophy, but the index factsheets behind it give a sharper picture of what the style looks like in practice. The numbers show a mix of valuation discipline, broad constituent coverage, and a concentration profile that is still dominated by some of the market’s largest companies.
If you want the fastest read on the data, the MSCI USA Value Index and MSCI World Value Index make the comparison easy: both lean into lower valuation ratios than growth-heavy market snapshots, but they still carry heavyweight constituents, large aggregate market caps, and enough turnover to keep the basket moving.
Table of contents
- Fast facts
- What the valuation ratios say
- Size and breadth
- Turnover and risk
- Constituent concentration
- ESG and controversy markers
- How to read these value statistics
Fast facts
The cleanest snapshot comes from the headline metrics in the two factsheets.
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MSCI USA Value Index dividend yield: 1.86% (MSCI USA Value Index factsheet)
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MSCI USA Value Index trailing P/E: 21.96 (MSCI USA Value Index factsheet)
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MSCI USA Value Index forward P/E: 17.36 (MSCI USA Value Index factsheet)
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MSCI USA Value Index P/BV: 3.62 (MSCI USA Value Index factsheet)
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MSCI USA Value Index constituents: 420 (MSCI USA Value Index factsheet)
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MSCI USA Value Index market cap: USD 32.07 trillion (MSCI USA Value Index factsheet)
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MSCI USA Value Index turnover: 24.18% (MSCI USA Value Index factsheet)
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MSCI USA Value Index 3-year annualized standard deviation: 12.86% (MSCI USA Value Index factsheet)
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MSCI USA Value Index 3-year Sharpe ratio: 0.76 (MSCI USA Value Index factsheet)
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MSCI USA Value Index maximum drawdown: 59.73% (MSCI USA Value Index factsheet)
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MSCI World Value Index dividend yield: 2.50% (MSCI World Value Index factsheet)
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MSCI World Value Index trailing P/E: 18.37 (MSCI World Value Index factsheet)
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MSCI World Value Index forward P/E: 15.21 (MSCI World Value Index factsheet)
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MSCI World Value Index P/BV: 2.57 (MSCI World Value Index factsheet)
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MSCI World Value Index constituents: 870 (MSCI World Value Index factsheet)
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MSCI World Value Index market cap: USD 42.10 trillion (MSCI World Value Index factsheet)
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MSCI World Value Index turnover: 22.83% (MSCI World Value Index factsheet)
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MSCI World Value Index 3-year annualized standard deviation: 11.87% (MSCI World Value Index factsheet)
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MSCI World Value Index 3-year Sharpe ratio: 0.81 (MSCI World Value Index factsheet)
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MSCI World Value Index maximum drawdown: 61.22% (MSCI World Value Index factsheet)
What the valuation ratios say
The central appeal of value investing is encoded directly in the valuation ratios. These two indexes do not trade on the same terms, and that gap is useful because it shows how value screens can look across a U.S. basket and a global basket.
| Metric | MSCI USA Value Index | MSCI World Value Index |
|---|---|---|
| Dividend yield | 1.86% (MSCI USA Value Index factsheet) | 2.50% (MSCI World Value Index factsheet) |
| Trailing P/E | 21.96 (MSCI USA Value Index factsheet) | 18.37 (MSCI World Value Index factsheet) |
| Forward P/E | 17.36 (MSCI USA Value Index factsheet) | 15.21 (MSCI World Value Index factsheet) |
| P/BV | 3.62 (MSCI USA Value Index factsheet) | 2.57 (MSCI World Value Index factsheet) |
The global value basket is cheaper on all three valuation measures shown here. Its dividend yield is also higher, at 2.50% versus 1.86% for the U.S. value basket (MSCI World Value Index factsheet; MSCI USA Value Index factsheet). That combination is exactly what many readers expect from a value-oriented index: lower multiples and more income per unit of exposure.
The trailing and forward P/E figures are particularly useful because they let you see the difference between what the market has already paid for and what it may pay based on forward estimates. The MSCI USA Value Index sits at 21.96 trailing P/E and 17.36 forward P/E (MSCI USA Value Index factsheet). The MSCI World Value Index is lower at 18.37 trailing P/E and 15.21 forward P/E (MSCI World Value Index factsheet).
That spread suggests the worldwide version of the strategy is, at least in these factsheets, more aggressively priced. The same pattern holds for price-to-book value, where the U.S. value basket is at 3.62 and the world value basket is at 2.57 (MSCI USA Value Index factsheet; MSCI World Value Index factsheet). In plain terms, the global basket is less expensive relative to book value.
Size and breadth
Value investors often focus on price, but the size of the underlying baskets matters too. These factsheets show that value indexes can be enormous, diversified vehicles rather than narrow deep-value screens.
The MSCI USA Value Index has 420 constituents and a market cap of USD 32.07 trillion (MSCI USA Value Index factsheet). The MSCI World Value Index is even broader, with 870 constituents and a market cap of USD 42.10 trillion (MSCI World Value Index factsheet).
That difference in breadth is not a side detail. It means the world basket covers more names and more markets, while the U.S. basket stays more concentrated inside one market. For readers comparing value investing statistics across geographies, the main takeaway is that a larger name count does not automatically mean a lower quality of exposure. It means the screen is working across a wider base.
A compact way to read the size profile is this:
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MSCI USA Value Index largest constituent market cap: USD 2.23 trillion (MSCI USA Value Index factsheet)
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MSCI USA Value Index smallest constituent market cap: USD 1.94 billion (MSCI USA Value Index factsheet)
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MSCI USA Value Index average constituent market cap: USD 76.36 billion (MSCI USA Value Index factsheet)
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MSCI USA Value Index median constituent market cap: USD 31.81 billion (MSCI USA Value Index factsheet)
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MSCI World Value Index largest constituent market cap: USD 1.67 trillion (MSCI World Value Index factsheet)
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MSCI World Value Index smallest constituent market cap: USD 812.30 million (MSCI World Value Index factsheet)
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MSCI World Value Index average constituent market cap: USD 48.39 billion (MSCI World Value Index factsheet)
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MSCI World Value Index median constituent market cap: USD 20.78 billion (MSCI World Value Index factsheet)
The average and median figures are especially informative because they show the shape of the basket. In both indexes, the average constituent market cap is well above the median, which indicates a right-skewed distribution driven by large companies. For the U.S. value basket, the average is USD 76.36 billion while the median is USD 31.81 billion (MSCI USA Value Index factsheet). For the world value basket, the average is USD 48.39 billion while the median is USD 20.78 billion (MSCI World Value Index factsheet).
That gap matters because it tells you that the largest names still pull a lot of weight, even in an index called value. Value investing statistics often get simplified into cheap versus expensive, but these size numbers make clear that the strategy can still be anchored by major global franchises.
Turnover and risk
Turnover and volatility tell you how hard the basket has to work to maintain its value profile, and how bumpy the ride has been.
The MSCI USA Value Index has turnover of 24.18% (MSCI USA Value Index factsheet). The MSCI World Value Index has turnover of 22.83% (MSCI World Value Index factsheet). Those numbers are close, and both suggest that the baskets are not being reshuffled every month in a dramatic way. Still, roughly one-quarter turnover is enough to matter for implementation and rebalancing behavior.
Risk profile comparison
| Metric | MSCI USA Value Index | MSCI World Value Index |
|---|---|---|
| 3-year annualized standard deviation | 12.86% (MSCI USA Value Index factsheet) | 11.87% (MSCI World Value Index factsheet) |
| 5-year annualized standard deviation | 14.45% (MSCI USA Value Index factsheet) | 13.77% (MSCI World Value Index factsheet) |
| 10-year annualized standard deviation | 14.89% (MSCI USA Value Index factsheet) | 14.62% (MSCI World Value Index factsheet) |
| 3-year Sharpe ratio | 0.76 (MSCI USA Value Index factsheet) | 0.81 (MSCI World Value Index factsheet) |
| 5-year Sharpe ratio | 0.44 (MSCI USA Value Index factsheet) | 0.49 (MSCI World Value Index factsheet) |
| 10-year Sharpe ratio | 0.56 (MSCI USA Value Index factsheet) | 0.53 (MSCI World Value Index factsheet) |
| Maximum drawdown | 59.73% (MSCI USA Value Index factsheet) | 61.22% (MSCI World Value Index factsheet) |
A few patterns stand out.
First, the world value basket has slightly lower annualized volatility over 3, 5, and 10 years, which keeps it a bit smoother in those periods (MSCI World Value Index factsheet). Second, the Sharpe ratio is higher for the world value basket over 3 years and 5 years, while the U.S. value basket edges ahead at 10 years (MSCI World Value Index factsheet; MSCI USA Value Index factsheet). That is a reminder that risk-adjusted performance changes with the measurement window.
Third, both indexes have had severe drawdowns. The MSCI USA Value Index maximum drawdown is 59.73%, while the MSCI World Value Index maximum drawdown is 61.22% (MSCI USA Value Index factsheet; MSCI World Value Index factsheet). Those are large drops by any standard. The takeaway is not that value is safe in an absolute sense. It is that value investing can still experience very deep declines even when the underlying constituents look established and large.
A useful reading of these statistics is that value indexes may be more disciplined on price, but they are not immune to broad market stress or sector-specific weakness. The drawdown data also puts the turnover figures in context: even with regular rebalancing, the risk profile can remain substantial.
Constituent concentration
The biggest names in a value index can say as much about the market as the valuation ratios do. Here the weight data is revealing because it shows which large companies are carrying the most influence.
Top weights in the U.S. value basket
- Alphabet: 6.98% (MSCI USA Value Index factsheet)
- Meta Platforms: 4.16% (MSCI USA Value Index factsheet)
- JPMorgan Chase: 2.66% (MSCI USA Value Index factsheet)
- Berkshire Hathaway: 2.03% (MSCI USA Value Index factsheet)
- Exxon Mobil: 2.00% (MSCI USA Value Index factsheet)
Top weights in the world value basket
- Alphabet: 3.97% (MSCI World Value Index factsheet)
- Meta Platforms: 2.96% (MSCI World Value Index factsheet)
- JPMorgan Chase: 1.90% (MSCI World Value Index factsheet)
- Berkshire Hathaway: 1.57% (MSCI World Value Index factsheet)
- Exxon Mobil: 1.70% (MSCI World Value Index factsheet)
The top five names are the same in both baskets, but the weights are lower in the world version (MSCI USA Value Index factsheet; MSCI World Value Index factsheet). That is what you would expect from a broader basket with more constituents, and it has practical implications. Broader exposure can dilute single-name dominance, even when the largest names remain important.
The presence of Alphabet and Meta near the top of both value baskets is especially interesting because it reminds readers that value indexes do not automatically exclude companies associated with growth narratives. The factsheet data here only shows weight and index composition, but that alone is enough to see that value exposure can include very large technology-linked names alongside banks and energy companies.
One useful way to interpret these top-weight stats is to separate breadth from concentration. The world basket is broader with 870 constituents, but it still has a meaningful top-heavy profile around a small set of mega-cap names (MSCI World Value Index factsheet). The U.S. basket is more concentrated because its top names take larger individual weights within a smaller universe (MSCI USA Value Index factsheet).
ESG and controversy markers
The factsheets also include sustainability-related markers, and these can matter for readers who want a fuller profile of the value indexes rather than only the pricing stats.
- MSCI USA Value Index ESG score: 6.5 (MSCI USA Value Index factsheet)
- MSCI USA Value Index controversy score: 0.0% (MSCI USA Value Index factsheet)
- MSCI USA Value Index severe controversy score: 0.0% (MSCI USA Value Index factsheet)
- MSCI USA Value Index implied temperature rise: between 2.0°C and 3.2°C (MSCI USA Value Index factsheet)
The same broad framing is available for the world basket through its composition and weights, but the returned dataset only lists the ESG and controversy markers explicitly for the U.S. value basket. So the safest reading is narrow: those are the figures the factsheet gives, and they show a quantified sustainability profile alongside the market data.
For readers comparing value investing statistics, this matters because it shows that a value screen is not only about low multiples. It can also be evaluated through non-price descriptors that are attached to the index factsheet itself. The presence of an implied temperature rise estimate between 2.0°C and 3.2°C (MSCI USA Value Index factsheet) gives you one more dimension to consider when reading the profile of the basket.
How to read these value statistics
These figures are most useful when you read them together instead of in isolation.
- If you care about income, the world value basket has the higher dividend yield at 2.50% versus 1.86% (MSCI World Value Index factsheet; MSCI USA Value Index factsheet).
- If you care about valuation, the world value basket is cheaper on trailing P/E, forward P/E, and P/BV (MSCI World Value Index factsheet; MSCI USA Value Index factsheet).
- If you care about breadth, the world value basket is much larger at 870 constituents compared with 420 for the U.S. basket (MSCI World Value Index factsheet; MSCI USA Value Index factsheet).
- If you care about implementation, both baskets have turnover around the low-to-mid 20% range, which is material but not extreme (MSCI USA Value Index factsheet; MSCI World Value Index factsheet).
- If you care about risk, both baskets have meaningful volatility and severe historical drawdowns, so value should not be mistaken for low-drawdown investing (MSCI USA Value Index factsheet; MSCI World Value Index factsheet).
A final practical reading is that the value label here does not describe a tiny corner of the market. The market caps alone show that these are massive, institutionally relevant indexes: USD 32.07 trillion for the U.S. basket and USD 42.10 trillion for the world basket (MSCI USA Value Index factsheet; MSCI World Value Index factsheet). That scale is part of the story. Value investing statistics are not just about finding cheap stocks. They are also about understanding how a valuation framework behaves when it is applied to a huge, diversified, live market universe.