저자: JoelGreenblatt · 외국인
요약 보기
결론: 현재 저평가 상위 20% 가치주 바스켓은 향후 2년간 높은 수익이 기대되므로 가치주가 유리해 보인다는 주장. [가치투자 정의와 배경] 그린블랫은 1985~1995년 Gotham 펀드로 연 50%(수수료 전) 수익을 낸 뒤 책을 썼다. 가치투자는 기업의 미래 현금흐름을 평가해 현재 가치보다 싸게 사는 것이다. [시장 가격과 가치의 괴리] 52주 고저 가격 변동이 기업 실가치 변동을 넘어 크다는 점에서 시장 비효율을 확인했다고 설명했다. [핵심 수치: 저평가 바스켓 예측] 1,400대 미국 대형주 중 가장 싼 20%의 잉여현금흐름 수익률은 약 14%로, S&P500의 약 5%보다 약 3배 싸다. 과거 30년 중 상위 8%에 해당하는 저평가 구간이다. [향후 2년 수익률 예측] 과거 데이터 기준 이 수준에서 2년 평균 누적 수익률은 약 61%(연 약 30%)다. 2009년 3월 수익률 24%(100분위) 때는 2년 후 178%였다. [리스크와 조건] 예측은 보장이 아니며 단기적으로 추가 30% 하락도 가능하다. 단기 예측은 불가능하고 2~5년 시계에서 확률이 높아진다. 개별 종목은 변동성이 크므로 바스켓 분산이 필요하다. [전략 원칙] 이익 전망이 아니라 과거 몇 년의 현금흐름(백미러)으로 종목을 고른다. 인내심과 긴 투자 기간이 핵심 우위이며, 자산 자체의 가격 방향에 대한 단기 매수·매도 지시는 없다. [출연자 전망] 현재 시장은 S&P500 기준 비싼 편이지만 가치주는 매우 싸다고 판단한다. 금리 인상과 경기침체 우려에도 저평가 구간은 과거에도 그렇게 보였다고 강조했다. [기타] Michael Bury(Scion Asset Management) 투자 사례를 언급했으며, 그의 투자 아이디어에 깊은 인상을 받았다고 전했다.
다듬은 글
Hello, how are you, Stock Compounders? With you, Brad. So, Joel Greenblatt gave an interview to ETF Think Tank about a month and a half ago. And it's quite unusual that Joel Greenblatt is giving an interview. So today I wanted to share some of the main points I took away from this conversation with Joel.
Many of you, I'm sure, already know Joel Greenblatt. I've talked a lot about the " Magic Formula" on this channel. This is actually the first book Greenblatt wrote: "You Can Become a Stock Market Genius." He wrote it after a 10- year period from 1985 to 1995 when his fund was returning 50% per annum before fees, okay?
50% per year. A truly incredible result. It was a concentrated value investing and special situations fund . After these 10 years, they returned all the money to investors and continued to grow their equity using this strategy. Another book I've mentioned often on the channel is "The Little Book That Beats the Market," and it's entirely devoted to the "magic formula." As when combining two factors to rank stocks, the first decile usually outperforms the second, the second - the third.
This is all very predictable. So, this is a very impressive work—"The Little Book That Beats the Market." But again , today I want to focus on the main points of this video. So, let's get straight to the point. I mentioned that Gotham Capital started in 1985 and showed a 50% return over 10 years. Joel taught at Columbia University from 1996 to 2019.
Of course? He taught for 23 years. It is quite rare to find an extremely successful fund manager who was also a teacher, a university professor. Joel is a unique combination of these qualities. I can't even think of anyone else, really. I attended the Wharton School of Business for my undergraduate and graduate degrees.
This is about Greenblatt. And they taught the theory of efficient markets there. Do you understand? All Greenblatt had to do was look at the newspaper to see that something was missing. He says, "The 52-week highs and lows in the newspaper seemed to contradict everything the professors were saying." Most stocks traded in, say, a range of 40 to 100.
So, there is a huge gap in stock prices over the year. And Joel simply couldn't believe that the real value of a business could fluctuate so much in a year. He came across an article by Benjamin Graham in Forbes magazine. And this, in fact, was the beginning of his journey: reading about Ben Graham, about Buffett, in order to master this career in investing on his own.
He says that the only thing he learned in business school was accounting , which is, of course, very important. But he probably didn't need to spend 6–8 years at Wharton to learn accounting. I define value investing. Value investing is the assessment of a business's future cash flows and the attempt to purchase them at a discount to today's value.
This, in fact, is what investing is all about. As we later learn, oddly enough , Greenblatt doesn't try to forecast companies' earnings to figure out how to buy them at a discount. He is effectively looking in the rearview mirror with his current fund structure to determine what is of value. So we'll go into that a little more detail later.
He says, "If you make a good assessment, I guarantee the market will agree with you. I just won't tell you when." Most often, over the next 2–3 years, the market will agree with you, and the price will come into line with the value. Sometimes you have to wait 3 to 5 years, you know? And Greenblatt is a very big proponent of the concept of time arbitrage.
The patient investor will eventually win. I think it was in his third book: the big secret to investing is really patience, right? Buffett talks about it too. I think Ted Weschler talked about this a lot : if you have an investment planning horizon of three to five years, it gives you a huge advantage over those who are trying to make a quick profit in a year or two.
This is a completely different game. And it offers many advantages. So the main part of the conversation that I wanted to delve into is about this graph that he shows here. Gotham spent tens of millions of dollars. I think Greenblatt said it was $50 million worth of data collected over the last 30 years to create this graph.
And this graph shows what kind of returns can be expected in the future when their research portfolio was so cheap. When was it this cheap in the past , how did that affect the next 2 years? So is now a good time for value? Now, based on the current state of stocks, and this is how it's constructed: 1,400 largest U.S.
stocks, get it? So, essentially, they're picking the cheapest 20% of these stocks, okay? Here's how this basket is formed : the cheapest 20%. Gotham's free cash flow yield, this is calculated by Gotham. They have a huge research team . This is not something that can simply be filtered out through screening.
But the estimated free cash flow yield of these cheapest 20% of companies out of the largest 1,400 is about 14%. So, free cash flow yield. This compares to just over 5% for the S&P 500 index. That's almost three times cheaper. This is the 92nd percentile for cheapness. Only 8% of the time over the past 30 years has this basket of the cheapest 20% of stocks been this cheap.
Based on this, the average two-year forward return is the expected return when the market was this cheap in the past. That's how much he brought in over the next 2 years. 61%, okay? This is 30% per year. For the next 2 years. According to data from the last 30 years. So that's pretty interesting. To me, this means that value stocks are probably a very good place to be right now.
Of course, this is very difficult for an ordinary investor to replicate . Tens of millions of dollars are spent on the research team, data collection, and all that. But it's still very interesting. This is as of December 8th of last year. That is, again, about a month and a half ago. This basket of the 20% cheapest stocks was so cheap, at the 92nd percentile.
You can see this line here. It shows us the line of best approximation. If we know Gotham's yield, we can estimate the two-year forward yield. Since the yield is 14%, we predict a 61% two-year forward return. So that was a pretty exciting slide. One thing I want to point out: the S&P is currently in the 28th percentile for cost of living.
Of course? That is, instead of the 92nd percentile for cheapness, it is the 28th percentile for expensiveness. So there is a significant discrepancy between where the S&P is and where these cheapest 20% of companies are. Of course, this is not a prediction. There is no guarantee that this will happen.
This is based only on what has already happened. Some of you may say, “ Things aren’t looking too good in the markets right now, are they? The Fed is raising rates. " We seem to be entering a recession, at least that's what everyone says." Here's what Greenblatt would say about it . Every time in the last 30 years that we've been in the 92nd percentile for cheapness, it's looked at least as bad.
Of course? Everything is cheap because the situation looks bad. Do you understand? So just keep that in mind if you're thinking, "Oh, that looks terrible." "Well , this is what it looks like when everything becomes very cheap." So just think about it for a moment. There is a huge gap between how we perceive value—that's Gotham Capital—and what the market is paying for it.
So, essentially, Joel sees incredible opportunities for buying value stocks right now. Buy something that is very cheap according to the criteria Gotham uses, namely the ratio of enterprise value to free cash flow profitability. I'll fast forward a little, to the 27th minute. Here's an interesting data point.
This is the moment when the market... These cheapest 20% of companies were as cheap as they've ever been in the 30 years that Gotham has been collecting data. On March 2, 2009, yes, the yield on Gotham, the free cash flow yield on Gotham, was 24%. That was the 100th percentile, okay? Now, the two-year forward return was 178%, okay?
This is almost 90% per year. This just goes to show that the 92nd and 100th percentiles don't seem that far apart, only an 8% difference. But this is the difference between a projected 30% return per year and a 90% return per year. So I thought that was an exciting indicator. Ahem. He also says, "If you can close your eyes for 2 years, on average, that's what will happen." Understand ?
On the average. 61% for this basket of the cheapest 20% for the next 2 years. This does not mean that it cannot fall another 30% from this level. Of course? This is something that investors need to realize. In the short term, nothing is predictable. Of course? When you look 2, 3, 5 years ahead, it's easier to have a higher degree of confidence that things will turn out a certain way.
Obviously, there are no guarantees. But the nice thing about using a basket like this is when you look at the 20% of the cheapest companies , that's 280 companies, right? Since 1400. So if you can do that like Gotham, it really benefits you in terms of getting rid of volatility, right? Individual stocks out of these 280 will behave extremely volatile.
But if you can collect the basket, it will really smooth things over. Um , what else did I want to say? The last thing in the game will be time arbitration, okay? And again , he returns to patience as a key advantage for the value investor. Patience is in short supply because everyone wants to make money within a year or two.
Okay, don't play this game. This is a very crowded game. Take a longer planning horizon than others. Towards the end, we don't use profit projections, okay? They are not using anything promising to form these baskets of companies. We buy a basket of companies based on cash flows over the past few years.
So, looking in the rearview mirror . This is our best guess as to the future value. We were unable to improve it with predictions. Of course? That's it, right? You don't need to be able to predict the future to use this strategy. You can look in the rearview mirror . And get an accurate idea of what companies have done over the last couple of years.
And assume that this will largely continue in the future. At least, that's how Joel does it. And again, if you have enough stocks to form such a basket, it can be a very successful strategy. He says, "We never buy a company based on past earnings." Understand ? So if you're trying to decide whether to invest in Company X and you look at the free cash flow over the past couple of years, that's not going to be a great indicator of the company's future performance .
So you really need a larger number of shares for this strategy to work. And finally , he talks about Michael Bury. He was asked: "How did you come across Michael Bury? How did you decide to fund his foundation?" And I actually got it mixed up on Twitter. I thought Michael Bury was sending ideas to the Value Investor Club, and that's how Greenblatt found out about him.
But Michael Bury had his own website where he described different investment ideas, and Greenblatt came across it and was very impressed with how Bury thought about different investment ideas. It was a very clear and logical approach to how he evaluated investment opportunities. So, that's how Greenblatt decided to invest in Scion Asset Management, Michael Bury's fund.
So, I think that's it, guys. I definitely recommend watching this question and answer in full. It lasts only 56 minutes. This is fairly fresh material, only a month and a half old. And there is a lot to think about here. Obviously, when a person gets 50% returns in the market over a decade, it provides a lot of learning opportunities.
So that's it for me , guys. Thanks for watching, see you in the next video. Take care of yourself.
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