Returns to value strategies in individual equities, commodities, currencies, global bonds and stock indexes are predictable by the value spread. Common and asset-class-specific components of the value spread contribute equally to this predictability. Return variation due to common value is closely associated with standard proxies for risk premia, such as dividend yield, intermediary leverage and illiquidity, but it is at odds with models that exclusively generate a value premium in equities. Return variation due to asset-class-specific value presents another challenge for asset pricing models. The outperformance of value timing and rotation strategies indicates that investors can benefit from the value spread in real-time.