저자: PensionCraft진행자 · 외국인
요약 보기
결론: 마이클 버리는 인덱스 투자 확산이 가격발견 기능을 약화시키는 '인덱스 버블'을 우려하지만, 영상은 이를 CDO와 직접 비교하는 것은 부적절하다고 본다. 버리의 핵심 주장: 은행 규제로 유동성이 줄었고, 패시브 투자 확대로 개별 종목 분석 기반의 가격발견이 약해졌다고 주장한다. 근거 수치: 블룸버그 자료에 따르면 액티브 펀드 비중은 2013년 약 2/3에서 2018년 약 50:50으로 줄었고, 2019년에는 50%를 넘어설 것으로 예상된다. Jack Bogle은 2017년 인덱싱이 70~90%여도 소수의 가치투자자가 있으면 가격발견이 가능하다고 봤다. 버리는 인덱스 자금 흐름을 CDO 버블에 비유했다. 영상은 CDO(부채담보부증권, 위험을 트랜치로 나눔·레버리지·상관관계 기반 가격결정)와 ETF(보유 주식의 가중평균, 1:1 추적)는 근본적으로 다르다고 설명한다. 레버리지 측면: 주택담보대출, MBS, 합성 CDO(신용디폴트스왑)로 이어지며 레버리지가 중첩된 반면, 대부분의 ETF는 지수와 1:1 움직임을 보인다(델타원 상품). 유동성 측면: 버리는 러셀2000의 소형주 거래 부진, 1,000여 개 종목이 하루 500만 달러 미만 거래된다는 점을 지적하며, 대규모 인덱스 자금이 소형주에 연결된 위험을 경고한다. 영상은 대형주일수록 유동성이 높고 스프레드가 좁다고 설명하며, 샘플링 방식 ETF가 유동성 낮은 소형주를 일부 제외해 이를 피한다고 말한다. 결론적 시사점: 소형 가치주의 위험 프리미엄과 유동성 프리미엄이 존재하며, 관련 팩터 ETF로 이를 취할 수 있다. 다만 개별 종목 선정은 어렵고 위험하다. 영상은 투자 권유가 아니라고 명시한다. 출연자 전망: 버리는 인덱스 버블 가능성을 제기했으나 구체적 가격 목표나 기간은 제시되지 않았다. 영상 자체는 CDO 비유를 기각한다.
다듬은 글
Michael burry has predicted two of the biggest bubbles in recent decade the dot-com bubble and the global financial crisis and in a recent interview with Bloomberg News he says that we're in an indexing bubble now this first came to light for me when it was mentioned on one of our Sunday evening live Q&A calls and remember you can join us on those for just $5 a month so to see exactly what kind of comparisons he's making and he makes some shocking ones but also a very good point about value let's look at that in a bit more detail this is not a recommendation if you want advice tailored to your specific circumstances seek independent financial advice Michael Berry's got a huge amount of experience with financial markets in 2000 he founded Scion Capital and he very effectively called the dot-com bubble and by shorting stocks he managed to make a profit even when the S&P 500 was falling but most impressive of all in 2005 he forecast that the real estate bubble would burst in 2007 in 2008 he'd returned over 22 percent per annum to the investors of cyan capital you probably wouldn't have heard of him if he hadn't been mentioned in Michael Lewis's book the big short which was then turned into a fantastic movie where Michael Berry's character was played by Christian Bale as Erik Bal Cunha's points out Michael Lewis who rode the big short is actually an index investor so let's start with Barry's point about price discovery he starts off talking about how banking regulation has reduced the amount of risks that banks can take an in turn that's reduced the liquidity of markets because those banks can carry less inventory think of it like a supermarket with just one can of beans or just one bottle of milk and added to that he points out the passive investing has removed price discovery from the equity markets now price discovery is just the ability of markets to sort out the good companies from the bad companies where good usually means profitable and able to return value to shareholders if you just passively follow an index then you're not looking at value at all you simply buy companies in proportion to the size of the company for a market cap weighted in so by removing the requirement for security level analysis which active managers perform he's saying that we're not going to get true price discovery James safer from Bloomberg research has shared these two pie charts these compare 2013 and 2018 based on the amount of money which is being run in active mutual funds versus passive exchange-traded funds and index funds and while active represented about two-thirds of the market in 2013 in 2018 it was roughly 50/50 and given the rapid growth of passive funds were likely to have passed that point of 50 percent in 2019 Jack Bogle made a really interesting point about price discovery in 2017 he said that you could still have price discovery even if indexing was around the 70 80 or 90 percent level there's a proportion of total funds and the reason was it led always be people looking for value so active wouldn't have to be a huge proportion of the market in order to have effective price discovery now many people have made that point about price discovery I hear it almost every week but I think much more shocking is Barry's comparison of CEOs with ETFs he compares what he calls the indexing bubble with a bubble and synthetic asset back cdo's before the great financial crisis because he says indexing has massive capital flows just like CEOs did which isn't underlined by fundamental security level analysis but comparing an ETF with a CDO is a bit like comparing a cheetah with a hippopotamus they're very different beasts let's see why firstly what is a CDO it's not something most of us are familiar with CDO stands for collateralized debt obligation at the heart of a CDO is a pool of assets in this case our MBS once you've got your pool of assets you can create a set of CDO tranches which are based on the risk from the pool of assets and the word tranche comes from the French word for slice but the key thing is that you're slicing up the risk so when you sell these tranches to clients you have the low risk low yield tranche at the top which is supposedly triple-a very high credit quality because you only lose capital on that tranche if all of the tranches underneath it have been completely eaten away by defaults on those loans but because that's low-risk that earns you the lowest yield then the Double H ranch takes more risk and gives you a higher return and so on until you get to the equity tranche which is like the toxic waste but it also gives you the highest yield you're much more likely to be familiar with an exchange-traded fund this is the granddaddy of all exchange-traded funds the spider spwhy fund this was launched in 1993 and it tracks the S&P 500 US equity index and is completely transparent you can see the top 10 holdings here and also the weights held by the ETF and in effect this is just a portfolio of stocks which you can buy off the shelf and the price of the ETF is just a weighted average of the price of the stocks inside the ETF if the weights of the portfolio matched those of the S&P 500 then you'll also match the price movements of the S&P 500 and that's why these are usually called trackers because they track some kind of index like the S&P 500 but the primary difference between CDOs and ETFs becomes very apparent if you look at the pricing to get an intuition of how you price a CDO we can use an analogy which is a medieval castle let's say you're selling insurance and you charge people a premium in order to store their gold now at release and nasty guys are gonna try and bust your castle how are they gonna do that well they dig a hole under the castle they fill it with explosive and they blow it up and these people were known as sappers and if they got it right and didn't blow themselves up first you can see what happened they blow up the ramparts the castle walls fall and then the invading army can stream into the castle and steal your gold so naturally castle builders built up a defense against this happening it was called a concentric castle and that's like a castle within a castle you can see two sets of walls well now you can charge two premiums the outer ward is less safe than the inner ward so you'd probably charge more to insure the gold in this outer region which is more dangerous and because the inner ward is safer it would cost less to ensure your gold the bring us back into CEO world we're going to change the terminology the field around the castle is called the equity tranche this is the most dangerous region of all there's no castle wall protecting it the area within the outer wall is called a mezzanine zone and the area in the inner sanctum is called the senior zone now where would you attack this castle you can probably see the design floor the points where I've shown the arrows are where the walls are very close together so if a sapper breaches the wall at that point they could breach both walls at once it's as if both walls were just one wall and the inner wall would offer no extra protection so to stop the correlation of the walls falling together you'd move the inner wall four way from the outer wall and that way the sappers couldn't blow up both walls at once and that's why correlation is key to pricing a CDO when correlation is high then all of the tranches could default at the same time when a pricing of all three tranches converges on to the same expected loss but if the correlation is lower there's a divergence between the equity tranche which is the most risky and the senior tranche which is the most safe so while that's the intuition about how to price a CDO you do need to do some fairly hardcore maths or at least Monte Carlo simulation in order to price them properly it's a far cry from an ETF where the price is just the weighted average of the prices of the stocks another huge difference between CDOs and ETFs is leverage in the Financial Crisis Inquiry report which went through the reasons for the financial crisis you can see that leverage and CDOs go hand-in-hand what is leverage it's just investing borrowed money that increases your profits in good times but also increases your losses in bad times in other words it amplifies your risk and your return and cdot's introduced leverage at every level so firstly a mortgage for a home loan is itself leveraged particularly if you make a low downpayment because most of your investment will be borrowed money then mortgage-backed security which packaged up those home loans and the CEOs into which they were placed produce further leverage because they're financed with debt even more complex with synthetic CDOs which instead of containing bonds contained credit default swaps which amplified the leverage further now for the vast majority of ETFs if we look at the index value on the x-axis and we plot that versus the value of the ETF they tend to move up and down one for one and that's why ETFs are sometimes called Delta one products they have this one-to-one movement with the underlying index whereas for a leveraged asset like a CDO if the underlying index increases the asset value will increase by more in this case twice as much and if the index Falls the asset value will fall by twice as much here I've plotted the S&P 500 daily return over the last 15 years versus the daily return on the S&P tracker spwhy notice how the daily returns fall on to the straight line the ratio is one to one and that because it's a delta one product with no leverage so this is another way in which ETFs and CDOs are utterly different now let's move on to Barry's point about liquidity which in investment terms means how long it takes to sell an asset to turn it into cash Barry says that the dirty secret of passive index funds is the distribution of daily dollar value traded amongst the securities within the indexes they mimic although in fact all of his arguments also apply to any fund whether it's active or passive as long as that fund is benchmarked against some kind of index now one way to measure liquidity is to look at the difference between the buying price and the selling price of a stock I've plotted that on a y-axis so big spread at the top means that a stock is illiquid then a low spread at the bottom means that the stock is easy to sell and also cheap to buy itself and very liquid and on the x-axis I've got the average daily turnover so that's how much of the stock traded hands every day averaged over the last 25 days so we've got large caps on the right and small caps on the left now what you can see is this really clear relationship such that large caps have higher liquidity and small caps have lower liquidity and that's what Barry means when he talks about the Russell 2000 index which is a u.s.
mid-cap and small-cap index the mat has a huge tale of tiny stocks which are lower volume and lower value traded stocks with low turnover and he backs that up with some statistics showing that over a thousand of the stocks on the day he looked at the market traded less than 5 million dollars in value which is tiny for the US stock market and he makes the point that if a very large amount of money's indexed against the Russell 2000 then hundreds of billions could be linked to these tiny stocks then he says the same is true of the S&P 500 and he makes a nice analogy which is to say that the théâtre keeps getting more crowded but the exit door is the same as it always was implying that if everyone gets out at the same time there won't be room but of course this is a well known fact so that micro-cap stocks traded huge bid-offer spreads and they tend to be very illiquid and if you look at the bid offer spreads in the morning they're typically worse than they are in the afternoon as shown in this data from brian livingston there are two orders of magnitude difference in the bid-offer spread between the smallest and the largest stocks on the US stock exchange but in fact ETFs have found a way around that which is called sampling instead of buying all of the stocks in the index in the same weight as the index you only buy a subset of them and adjust the weights in a clever mathematical way such that you track the index as closely as possible the stocks you miss out are the ones which at least liquid and that would typically be the smallest stocks in the index so for example if you're tracking emerging markets stock indices which tend to be less liquid than developed market stocks you're likely to use one of these sampling methods but also if you're tracking a huge index like MSCI world where it may not be practical to buy all of the stocks in the index I've Illustrated that here with a really simple example where the blue line is the S&P 500 and the red line is a really simple portfolio with just three of the biggest stocks in index of course the approximation isn't very good but if I deal with ten stocks the approximation improves and 20 stocks is even better than 30 stocks better still in practice you'd use hundreds if you're trying to replicate an index for a real ETF but you can see that you can match the index very closely and you don't need all of the stocks in the index to do that here's an ETF which does that it's the iShares footsie 250 tracker where the index obviously has 250 stocks in it but if we look at the number of holdings in the ETF there are only 237 and that's almost certainly because they'll have avoided the smallest and least liquid stocks in the footsie 250 now a CDO is not an exchange-traded security it can only be traded over-the-counter which means if you wanted to buy or sell one you'd have to contact a counterparty and trade with them directly so an over-the-counter trade would be something like buying a bespoke suit from Ozwald Boateng you'd have to call him make an appointment and be sized up for the perfect fitting suit whereas an exchange-traded fund is like an off-the-shelf solution one size fits all but it's a lot cheaper and it's a lot easier to buy and sell so in terms of pricing in terms of leverage and also the liquidity of not just the asset itself but also its constituents you really can't compare ETFs with synthetic CDOs but I think the most interesting point that Barry makes is about orphaned small cap value money's been attracted to the cheapest ETFs and those also tend to be the ones which invest in large cap equity and in a sense that's all firms small cap stocks particularly the ones which had good value and that's created an opportunity because if those stocks are overlooked you may be able to harvest that small value risk premium so it's ironic that there are now many ETFs which do precisely that they're designed to harvest this small cap value risk premium now strictly speaking these are not passive funds they're active funds but they're still wrapped up inside an exchange-traded fund but the key thing it's false down a fee that you'd pay to get exposure to that type of factor you won't have to do the single stock screen yourself you can get the ETF to do it for you and while in the UK we don't have many of those small cap value ETFs Vanguard has created a global liquidity factor ETF and again this is designed to harvest that liquidity premium for less frequently traded shares and those tend to be the small caps so can we compare subprime CDOs and exchange-traded funds probably not but I think the point about value and about small caps is a very interesting one there is a risk premium which is out there ready to be harvested but they're also very cheap ETFs which can harvest it for you you don't necessarily have to do single stock selection which is quite risky and very difficult if you're not a professional investor like Michael burry so if you found that video useful please support us on patreon we rely completely on you and if you do support us you can join us on our live Q&A call on a Sunday and ask questions on our slack channel we'd love to see you on that call and on slack and as always thank you very much for listening
Comments 0