저자: JoelGreenblatt · 외국인
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한 줄 결론: 개인투자자도 가치 팩터 기반 동일가중·펀더멘털 가중 지수 전략으로 시장을 이길 수 있다. 지수 구조적 결함: 시가총액 가중 지수(S&P500, 러셀1000)는 고평가 종목을 자동으로 더 많이 사고 저평가 종목은 덜 사서 연 약 2%의 비용을 발생시킨다고 주장. 대안 전략: 동일가중 또는 펀더멘털 가중 지수로 바꾸면 오류가 체계적이 아닌 무작위가 되어 연 2%를 회수할 수 있다고 설명. 가치 지수(Valuated): 저렴한 종목일수록 비중을 높이는 방식. 최근 20년간 S&P500·러셀1000과 유사한 변동성·베타에서 연 7%p 추가 수익을 냈다고 주장. 근거 배경: 액티브 매니저의 약 70%가 지수에 못 미치며, 과거 3·5·10년 성과와 이후 성과 간 상관관계가 거의 없음. 시장 환경 변화: 정보 접근성·컴퓨팅 파워·월가 인력과 헤지펀드가 늘었지만, 단순 가치 팩터의 초과수익은 최근 20~30년간 오히려 강해졌다고 주장. 기관화 효과: 1980년대 후반 재간접펀드가 월간 수익률 보고를 요구한 일화를 들어, 시장이 기관 중심의 단기 성과 압박 구조로 바뀌면서 장기 가치 투자자에게 기회가 생겼다고 설명. 개인투자자 적용: 개인이 직접 20~30개 종목을 관리하고 세금을 추적하는 것은 어렵다는 점을 인정하며, 자신의 웹사이트와 신간(The Big Secret)에서 쉬운 실행 방법을 제시. 출연자 전망: 특정 자산의 1~3개월 가격 방향에 대한 발언은 없음. 장기적 가치 팩터 우위 주장만 있음. 리스크/조건: 가치 팩터는 장기간 부진할 수 있으며, 전략 수익은 과거 데이터(20년) 기반이라는 점이 명시되지 않음.
다듬은 글
Joel good to have you with us we had you on a little over a year ago but since then you've come out with a new book called the big secret and this follows another book that you had why two books or investor advice couldn't you get it all in the first book it was called the little book that beats the market well it's it's not even as good as that this is really my third book so excuse me so I wrote a book six years ago called the little book that beats the market and it really gave a very simple way for people to to beat the market and I actually ended up after I finished the book getting worried that people would kind of screw it up and I was really trying to help people so and there aren't great data sources and everything else so we actually set up a website to do everything for them except that I made a little mistake it actually ended up being pretty hard I tried doing it with my kids and managing a portfolio of 20 or 30 securities and keeping track of the taxes and everything else it turns out most people don't you know it's kind of hard to do it yourself and I even found it hard with my own kids so I learned a lot we did a lot of research since the first book and learned some more things and and came out with something that I guess is even easier for people to do and also takes advantage of our latest research now before we get to that and you've got some new funds you maintain that the individual investor can beat the big guys as you put it how can that be well it's pretty interesting that from the research we did in the book most people know that the typical index funds the S&P 500 and the Russell 1000 if you invest in those they beat most managers but roughly about 70% of the managers and that's pretty powerful it's because of their low fees and that most managers aren't really adding value so one logical thing to do would be to say well I know only 30% of the managers beat the typical index so how do I find those guys and it turns out if you look back over the last three five and 10 years of those managers records there's really no correlation between how they do in the next three five ten which is really what you're trying to figure out so that's why you know most you know at least advisors have have recommended and and possibly rightly that index funds for the individual investor who doesn't know how to pick stocks on their own is maybe a good opportunity for most people so we set out to do something a little better and as it turns out the the regular indexes the S&P 500 or the Russell 1000 are seriously flawed as it turns out even though they'd be the most active managers they're still very seriously flawed and they do something that costs investors about 2% a year and that really is is that their market cap weighted indexes which means they put more weight into the larger market caps and so that if astonished the losers right so if you believe like Ben Graham or Warren Buffett that the markets sometimes emotional it's not efficient like so many professors have professed over many years it's not efficient that means that if the market does get emotional over the short term that some stocks are overpriced and some are under priced and a market a market cap weighted index if a stock is overpriced it buys too much of it automatically and if it's under priced advise too little but automatically because it's based in our market cap which is essentially price so it sounds crazy but it actually systematically doing the wrong thing at every point whenever there's an inefficiently price stock and so there's an easy way to correct that and there are actually equally weighted indexes instead of putting putting more in the larger market cap companies it actually puts an equally weight so if you have the S&P 500 it'll put as much weight in stock number one as it will in stock number 500 it still makes plenty of errors in other words it's an equally weighting but those errors are now random not systematic like a market cap weighted index so you actually get back the 2% a year and the few people have come out with something called fundamentally weighted indexes it's just another way to weight stocks without using Christ and therefore the errors in those indexes are also random and you get back to 2% from those two and since we're value investors and have been done a lot of research on value investing over a long period of time we created an index that we call valuated which just means the cheaper something is the more weight we put into it and it's actually more diversified than you know the sp500 or Russell 1000 index has the same volatility has the same beta yet over the last 20 years you would earn 7% more a year following that strategy and it's it's ridiculously simple just put more weight in the cheaper companies before we get to that you make the point the reason why there is such opportunity for the individual is that in the Investor world you believe it's become more short-term focused which means buy high sell low that's a really great point a big picture is that what when you when you look back at at what's happened over the last 20 30 years there's been more access to information there's been more computing power there's been more people going onto Wall Street you know it's high paid hedge funds and you know proliferation of mutual funds and and everything else so there's a lot of smart people actually trying to beat the market quote-unquote and so you would think that it would be getting tougher and tougher for individual investors to to outperform the market and what it turns out is our simple value factors have actually gotten stronger over the last 20-30 years and the reason for that is that the the world has become much more institutionalized meaning I'll just tell a quick story I tell in the book which was that in the late 80s I had an investor in my partnership one of the first fund of funds and these are funds that actually pick managers and you're asking them to find their expertise to pick the best managers and they put that all together in a fund and so one of the first that was put together in the late 80s or at least the ones that I knew about asked to invest in our partnership and at the time I was writing quarterly letters and that seemed to be fine for my investors but the fund of fund said well we have to report more often so could you give us monthly returns so this follows another book that you had why two books or investor advice couldn't you get it all in the first book which is called the little book that beats the market well it's it's not even as good as that this is really my third book so I don't know excuse me so I wrote a book six years ago called the little book that beats the market and it really gave a very simple way for people to to beat the market I actually ended up after I finished the book getting worried that people would kind of screw it up and I was really trying to help people so and there aren't great data sources and everything else so we actually set up a website to do everything for them except that I made a little mistake it actually ended up being pretty hard I tried doing it with my kids and managing a portfolio of 20 or 30 securities and keeping track of the taxes and everything else it turns out most people don't you know it's kind of hard to do it yourself and I even found it hard with my own kids so I learned a lot we did a lot of research since the first book and learned some more things and and came out with something that I guess is even easier for people to do and also takes advantage of our latest research now before we get to that and you've got some new funds you maintain that an intern at the individual investor can beat the big guys as you put it how can that be well it's it's pretty interesting that from the research we did in the book most people know that the typical index funds the S&P 500 and the Russell 1000 if you invest in those they beat most managers but roughly about 70% of the managers and that's pretty powerful it's because of their low fees and that most managers aren't really adding value so one logical thing to do would be to say well I know only 30% of the managers beat the typical index so how do I find those guys and it turns out if you look back over the last three five and ten years of those managers records there's really no correlation between how they do in the next three five ten which is really what you're trying to figure out so that's why you know most you know many at least advisors have have recommended and and possibly rightly that index funds for the individual investor who doesn't know how to pick stocks on their own is maybe a good opportunity for most people so we set out to do something a little better and as it turns out the the regular index is the S&P 500 or the Russell 1000 are seriously flawed as it turns out even though they'd be the most active managers they're still very seriously flawed and they do something that costs investors about 2% a year and that really is is that their market cap weighted indexes which means they put more weight into the larger market caps and so that if a staunch the losers right so if you believe like Ben Graham or Warren Buffett that the market sometimes emotional it's not efficient like so many professors have professed over many years it's not efficient that means that if the market does get emotional over the short term that some stocks are overpriced and some are under priced and a market a market cap weighted index if a stock is overpriced it buys too much of it automatically and if it's under priced it buys too little but automatically because it's based in on market cap which is essentially price so it sounds crazy but it actually systematically doing the wrong thing at every point whenever there's an inefficiently price stock and so there's an easy way to correct that and there are actually equally weighted indexes instead of putting putting more in the larger market cap companies it actually puts an equally weighting so if you have the SMP 500 it'll put as much weight in stock number one as it will in stock number 500 it still makes plenty of errors in other words it's an equally weighting but those errors are now random not systematic like a market cap weighted index so you actually get back the 2% a year and the few people have come out with something called fundamentally weighted indexes it's just another way to weight stocks without using Christ and therefore the errors in those indexes are also random and you get back to 2% from those two and since we're value investors and have been done a lot of research on value investing over a long period of time we created an index that we call valuated which just means the cheaper something is the more weight we put into it and it's actually more diversified than you know the S&P 500 or Russell 1000 index has the same volatility has the same beta yet over the last 20 years you would earn 7% more a year following that strategy and it's it's ridiculously simple just put more weight in the cheaper companies before we get to that you make the point the reason why there is such opportunity for the individual is that in the Investor world you believe it's become more short-term focused which means buy high sell low that's a really great point a big picture is that what when you when you look back at what's happened over the last twenty thirty years there's been more access to information there's been more computing power there's been more people going onto Wall Street you know it's high paid hedge funds and you know proliferation of mutual funds and and everything else so there's a lot of smart people actually trying to beat the market quote-unquote and so you would think that would be getting tougher and tougher for individual investors to to outperform the market and what it turns out is our simple value factors have actually gotten stronger over the last twenty three thirty years and the reason for that is that the the world has become much more institutionalized meaning I'll just tell a quick story I tell them the book which was that in the late 80s I had an investor in my partnership one of the first fund of funds and these are funds that actually pick managers and you're asking them to find their expertise to pick the best managers and they put that all together in a fund and so one of the first that was put together in the late 80s or at least the ones that I knew about asked to invest in our partnership and at the time I was writing quarterly letters and that seemed to be fine for my investors but the fund of fund said well we have to report more often so could you give us monthly returns
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