저자: JustinCarbino&JackForehand · 외국인
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결론: 이번 주 팟캐스트·리서치 요약은 리스크 정의, 모멘텀·추세추종 전략, 빌 밀러의 강세 전망, S&P500 이익 반등을 다루며 특정 자산에 대한 명시적 가격 예측은 거의 없다. 리스크 개념: Jack Forehand는 리스크를 하나로 정의할 수 없으며 개인마다 다르다고 설명. 다섯 가지 유형 제시: 영구적 자본손실, 변동성(패닉매도로 리스크화), 시장과의 괴리(장기 소외), 투자전략 자체의 리스크(가치투자 성과 부진 가능성), 불운(시퀀스 리스크, 은퇴 직후 약세장). 팟캐스트: Jack Vogel(Alpha Architect) 출연, 모멘텀 투자 설명과 추세추종(이동평균 기반) 소개. 최근 10년간 추세추종 신호는 대부분 틀렸다고 언급했으나 미래 성과 보장은 아니라고 강조. 팩터 전략: 가치와 모멘텀을 결합한 포트폴리오 구성이 유용하다고 제시. 모멘텀은 다수가 따르지 않는 전략이라는 점을 언급. 빌 밀러 Q4 서한: 시장이 강세장 초기이며 가치주 초과수익이 최소 1년 더 지속될 것으로 예상. 인플레이션이 예상보다 높을 리스크를 언급. 출연자 본인은 고평가 우려로 조정 가능성에 더 무게. S&P500 이익: 블룸버그 기사 인용, 4분기 기업 실적이 컨센서스를 크게 상회하며 이익 역성장(profit recession)이 끝날 수 있다는 내용. 비용 절감과 부양책으로 수요 유지 가능성 언급. 선행 PER 23배로 높지만 이익 개선 시 밸류에이션 부담 완화 가능. 리스크 요인: 고평가, 인플레이션 상승 가능성, 추세추종 전략의 장기 부진, 항공·외식 등 일부 업종 실적 부진. 출연자 전망: 밀러는 강세, Forehand는 조정 우려, Carbino는 이익 개선 기대. 세 사람 모두 특정 자산 단기 방향은 명확히 제시하지 않음.
다듬은 글
all right we're going to talk about some of the original investment commentary and podcasts and also the top research pieces that we highlighted on the vladia group investor blog for the week of february 5th 2021 and to start i thought jack maybe you could talk about your article on uh what is risk and then talk about the different types of risk that you outlined in the article that investors need to be aware of yeah you know everybody wants to come up with a clear definition for risk so risk is exactly x and risk is such an ambiguous concept that you can't do that i mean those of us that are quants want to say all right standard deviation is risk or some other quantitative measure we can come up with is risk but the reality is risk is in the eye of the beholder the reality is risk is really about what what will cause any individual investor to make a mistake or what will cause them to deviate from their plan or what will cause them to sell out at the wrong time and so what i wanted to do is look at some things understanding that risk can't be measured you know understanding that there's no true way to define risk i want to look at some things that potentially could be defined as as risk for investors and so i came up with five major ones um and although it's certainly not an all-encompassing list one was permanent loss of capital which which basically means if you obviously if you lose all your money or you lose so much of your money that you can't come back and achieve your financial goals then obviously you've experienced a huge risk um so it's important to maybe develop strategies that prevent that possibility you know not throwing all your money in options like people are right now obviously if you put all your money in game stop options you know after the peak you've you've pretty much lost all your money i'm not putting too much in any individual stock or risk could be measured as volatility so i talked about standard deviation standard deviation is one way to measure risk and the the reason you know buffett would say volatility is not risk but the reason volatility is risk for many people is volatility is what leads people to make mistakes so if i'm if i'm experiencing volatility that means i'm experiencing drawdowns in my portfolio or that means i'm experiencing periods of underperformance and when i experience those periods if i'm like buff it and i do nothing then it does it's not risk it doesn't you know it doesn't make any change to my long-term goals but if i'm not buff it and i panic like most people will then volatility becomes risk through my actions um and then the third one was deviating from the market so if obviously if you're if you're not an index investor and you try to follow a strategy that substantially will deviate from the market whether it be a long only strategy like value that can underperform for a long period of time or something like trend following that will take you in and out of the market when you're doing poorly and the people around you are doing well again you're typically going to make a mistake and that can you know risk can reflect itself that way um and then the last two the fourth was investment strategy risk so there's obviously the risk if i follow any investment strategy that even if i follow it over the long term it's not going to work so although we're believers in value investing there's some people who believe you know if you follow a value strategy that that out performance that's been there in the past won't be there in the future so if i follow value i'm taking that risk um and then the final one was bad luck so a lot of people you know if you think about it if i retire tomorrow and a bear market starts tomorrow i've experienced you know i may have created the perfect investment plan but i've still experienced risk and that that risk is what people call sequence risk which is if i lose that much of my money right as i start drawing money out of my portfolio it can be really hard for me to come back from that um so even if i've set up my portfolio perfectly if i just get bad timing with a bear market that that can derail me so sometimes bad luck can come in and you know show itself as risk good i think that's a good future podcast episode for us we can use that as a baseline to work off of so that'll be good yeah i know you could you could talk about risk all day i mean there's there's so much going on with risk and it's so difficult to measure that yeah i mean we should talk about it because it's it's an important concept for investors to understand but it's a it's really hard to get your arms around it uh what was our podcast this week so yeah we had uh jack vogel from the firm alpha architect on we talked to jack about momentum investing he sort of helped us in explained sort of what momentum investing is how it can be measured how it can be deployed in a investment strategy i think some of the pluses and minuses with momentum investing jack is actually the author of co-author of the book um quantitative momentum um that was the first half of the podcast and on the second half of the podcast we talked about trend following which is basically using something like a moving average to move in and out of an asset class let's say and we talked about what trend following is and i guess some of the pluses and minuses of that and and we talked uh about how hard it's been since the great financial crisis to actually utilize a trend following system and get it right and like jack said trend falling can be a very good way to mitigate some of the risks that you were mentioning before but it can also be one of the toughest strategies to follow because basically any trend following system anything that's used something like the 200-day let's say to move in and out of stocks has basically got every single there hasn't been tons of signals but it's almost got every signal wrong over the last 10 years and that would have you know hurt the investors returns it doesn't mean the next 10 years is going to be that way but you know that's one of the things that sort of we talked about with jack so it was a good podcast i think it's good jack's a great guy and um yeah we hope you guys check it out yeah and one of the interesting things with me about momentum um is you know if you if you would hold all the investing factors and sort of rank them you would find value and momentum are at the top of that ranking they're probably pretty similar in terms of their long-term returns but then if you would rank them based on how many people follow them you know value's way up here and momentum is way down here and so more people should follow momentum than do and part of the reason they don't i think is because it's difficult to understand why it works and jack did a really good job of explaining why momentum works and why it might be a good long-term strategy for people to follow and particularly to maybe couple with strategies like value when building a portfolio no i'm glad you said that that's what i was going to say i was going to say like a value and momentum sleeve you know when value's not working momentum should be picking up the pace and when value sort of comes back you know maybe you would be able to um you know benefit from that value reversion so combining those different factors um can be good i think in terms of uh equity portfolio um what was the article that stood out to you the most that we highlighted uh yeah we highlighted some insights from bill miller's q4 letter and i always like reading his letter he's sort of very different than me uh in the way he views the markets so you know i'm the type of person who's looking at the market right now and saying wow you know we we're way overvalued this can't keep going on and obviously that doesn't reflect in the way i invest but you know i i've always believed you know when we're at high levels like this when we're at all-time highs and valuations are high i'm always a big believer like the next correction is coming but bill sort of takes the other side of that you know bill looks at what's going on right now economically and he doesn't really see any reason why this won't continue i mean he thinks we're in the early stages of a bull market you know we're not anywhere near the bull market ending um you know if anything he thought maybe the risk going forward is we inflation might be higher than people think in the future but in terms of where the market is right now you know he doesn't see a lot of reason for pessimism or a lot of reason to believe we've got a big downturn coming yeah i think one of the things that he i believe highlighted in that letter he was talking about how long he thought value stocks had i mean they've been performing better so he was kind of estimating uh he was saying you know there's at least another year of values outperformance that he expects i think is still going to take place at the minimum i mean we know that these reversions can go on much longer than that but for systematic value investors that's certainly good news if that comes true yeah particularly because he's not he's typically not a deep value investor so the fact that he's you know a fan of deep value right now you know certainly makes me feel a little bit better about it um what was your article this week so yeah so it was an article from bloomberg the title was s p 500 profit recession may end as companies trounce earnings and so basically what's happening is the companies that have reported so far in q4 are basically blown blowing away wall street estimates and this isn't um uncommon actually a lot of times what happens in the market especially when you go through these big downturns and recessions are analysts get way too pessimistic about earnings expectations so they bring down the expectations so much and then what happens is a lot of times companies end up beating on those expectations and companies are beating in a big way actually they beat quite significantly in q3 and q4 they're like i said beating um beating a lot as well and i think the article pointed out that you know a lot of these companies really cut costs like really aggressively um you know cutting costs employees staying at home um so you had like a perfect setup and maybe business isn't as bad in some cases i mean some some industries obviously like airlines or maybe like you know a publicly traded restaurant uh chain you know clearly those companies aren't the ones that are seeing their earnings come in above expectation although they could i mean maybe even you know wall street might have discounted those earnings too much and so maybe those are those are some of the companies it didn't really break it down on a sector level it just kind of said that you know that earnings are coming in um better and you know it makes the market it reference something like you know we could get back to i don't know what it was like 2019 total above 2019 earnings on the s p 500 and as you kind of if as that gains steam you know it may not make the market look as expensive here like right now the market's trading at 23 times forward uh forecasted earnings so if earnings continue to come in better that multiple is actually lower and that's probably better for the overall market's valuation i mean the market does look pretty expensive here based on almost all metrics but if profits come in better than expected you know at least on a price to earnings sort of multiple level um you know maybe the market's not as expensive as uh people think so it'll be interesting to see over the next few months how these earnings continue to come in yeah you know i've been surprised by i mean i was somebody who was probably more pessimistic on what was going to happen with earnings than what actually have happened but your point about cost cutting is important because if companies really became a lot leaner during this process and demand didn't go down as much as we thought it would obviously when coveted hit we thought demand was going to go way down and it certainly went down some but it hasn't gone down as much and then now you put that stimulus into the picture and you've got demand that didn't go down that much you've got stimulus coming in and then you've got companies that are much leaner with cost cutting i mean you really could have what people like jeremy siegel have been talking about in terms of really really strong earnings this year um you know they could continue to beat expectations as we go through 2021.
great so we hope you guys found this quick summary and uh valuable we'll see you next week thank you if you'd like to keep up on the research writing and curation we're doing at valydia please go to blog.valydia.com to learn more and stay updated you can follow jack on twitter at practical quant and follow me on twitter at jjcarbonaut thanks justin carbino and jack forehand are principals at valydia capital management the opinions expressed in this podcast do not necessarily reflect the opinions of a lydia capital no information on this podcast should be construed as investment advice securities discussed in the podcast may be holdings of clients of lydia capital
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