저자: 미상 · 외국인
요약 보기
조엘 그린블라트의 매직 포뮬러를 소개하고, 이를 워런 버핏의 품질 지표와 벤 그레이엄의 가치 투자 접근을 결합한 체계적 스크리닝 전략으로 설명한다. 전략 구성: 기업가치 대비 이익수익률(EBIT/EV)로 저평가 순위를 매기고, 유형자본이익률(ROTC)로 품질 순위를 매긴 뒤 두 순위를 합산해 상위 5% 종목을 선정한다. 백테스트 근거: 그린블라트의 『The Little Book That Beats the Market』에 따르면 1988~2004년 상위 30개 종목을 매년 리밸런싱했을 때 연 30.8%, S&P500은 연 12.4% 수익률을 기록했다는 백테스트 결과를 제시한다. 투자 논리: 상장사도 사업체이므로 지불 가격과 자본수익률 같은 유사한 기준으로 평가하면 매력적인 투자 대상을 식별할 수 있다는 주장이다. 스크리너 실습: 발표자는 VALIDEA의 Guru 스크리너에서 어닝일드 모델을 선택해 90% 이상 점수 종목을 추리고, 트레일링 PER 10 이하, 최근 5년 연평균 이익성장률 15% 이상, 52주 고점 대비 20% 이상 하락, 유동비율 2 이상 조건을 추가해 소수 종목으로 좁혔다. 특정 종목 가격 방향에 대한 1~3개월 예측 발언은 없다.
다듬은 글
in this week's screen of the week we will look at the Joel Greenblatt magic formula model which is a model that combines both value and quality metrics in this video we'll walk through the actual model itself the inputs and the criteria in the model and then we'll look at the screen on Validia and identify the stocks that score highly according to the model and add in our own fundamental criteria in this overview we'll look at a strategy that combines Warren Buffett's quality measures with Ben Graham's deep value approach this was developed by Joe Greenblatt and outlined in his book the little book that beats the market the key fundamental investing Insight here is this stocks that exhibit a combination of discount evaluations and high Returns on Capital can produce outperforming returns for investors that have the patience to wait for the market to recognize their potential at a high level the strategy uses two relatively simple criteria it ranks all stocks on how inexpensive they are using Enterprise Value to ebitda and then it looks at the quality of the underlying businesses using return on Capital stocks then receive a combined ranking and the highest scoring stocks are the one that are favored by the strategy the source and the evidence behind the model we base this on greenblatt's book the little book that beats the market in his back test from 1988 to 2004 the top 30 stocks selected by this strategy and rebalanced each year showed a back-tested return of 30.8 percent per year over that period versus 12.4 percent for the s p 500.
the investment thesis is this public companies are businesses just like private ones and valuing them based on similar criteria such as the price you are paying and the return on Capital that they generate can help identify the most attractive Investments for investors now let's take a look at the model this is based on the strategy by Joel Greenblatt outlined in his book the little book that beats the market the first step is to determine if the company's trading at an attractive valuation to do this we need to calculate the earnings yield earnings yield is calculated by dividing a company's earnings before interest in taxes by its Enterprise Value which not only includes the price of the company but also the amount of debt it uses to generate earnings stocks are then percentile ranked by earnings yield this specific valuation criteria is the portion of the strategy that represents Ben Graham's value style of investing next we need to determine the quality of the business so to find high quality companies we look at return on tangible Capital this shows how well a firm is utilizing the capital of employees stocks are percentile ranked based on return on Capital the higher the return the better this is the Buffett high quality portion of the model the last step is to calculate the combined rank using the value and the quality metrics above so what this strategy does is it ranks stocks based on the combination of these two scores and the top five percent of stocks in our database are the ones that pass the model and should be considered for investors looking to combine Ben Graham's value approach with Warren Buffett's quality approach in a systematic way the magic formula earnings yield model is a good way to do that okay so what we're going to do here is we're going to go to the Google stock screener on Validia that's just researching Guru stock screener and in this drop down where we filter by individual Guru strategies we are going to choose the earnings yield model which is based on the Joel Greenblatt strategy I selected strong interest which this is going to show me all stocks that score at least 90 percent according to the model so this model percentile ranks based on the two variables earnings yield and return on Capital to find stocks that are exhibiting both value and quality but the list is pretty long so let's sort of start to narrow this down I'm going to add a trailing PE a maximum of 10 so this will keep us in what I would consider more the Deep value set of stocks that's selected by the model so it stocks with a PE of 10 or less and then I'm adding a long-term earnings growth hurdle of at least 15 percent so I want to see earnings that have companies that have grown earnings at least 15 percent a year annually over the past five years the list is still pretty long but let's look for stocks that have uh that are below their 52-week high so we want to see stocks that are at least 20 percent below their 52-week high so that means that they're still obviously they have low PES but you know they're well off their 52 week highs and then the last criteria I'm going to add in is a quality metric the current ratio which is current assets over current liabilities we want to see a ratio of at least two and as you can see when we filter on the Joel Greenblatt strategy and then add all these different criteria in we get a handful of stocks that pass with these additional filters thank you guys so much for watching we'll see you next time
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