Value has heavily underperformed growth over the last decade.

But since 2000 and historically it has handily beaten growth.

As well as investing in shininess (like Facebook and Google) what do you get for your money when investing in growth stocks?

The main difference between growth and value is gamma or convexity.

This chart plots Value and growth returns against S&P returns.

If we take the beta of the Value index when the S&P drops we get 1.02.

When we do the same for the upside we see 1.00.

Not very interesting huh?

Well, when we do the same with the Growth index we see a beta of 0.93 on the downside and 0.95 for the upside.

Value drops faster than it jumps.

But growth!

Growth does exactly what you would want it to do.

As well as having a lower beta it takes advantage of upswings and controls down swings.

Obviously this is is worth something. Perhaps a handful of basis points every year.

How much you value gamma is up to you, but this is significant.

In fact finding reliable sources of cheap gamma or convexity are the life and blood of most quant funds.