Value investors are known for being a hardy bunch, willing to buy into beaten-down stocks that everyone else thinks are a disaster. But cheap stocks have underperformed horribly over the past 12 years, and even some fund managers who specialize in buying them wonder in private if the technique no longer works. Could value be dead?

I’m a natural value guy, and not just in stocks. I like bargains, and will trek across town—or to today’s equivalent, the third page of the search engine—to find them. Over the long run of history,...