Joel Greenblatt - How the individual investor can beat the big guys

요약 보기

결론: 개인투자자도 가치 기반 인덱스 전략으로 대형 기관을 이길 수 있다. [액티브 펀드 vs 인덱스] S&P500·Russell 1000 같은 기본 인덱스는 대부분의 액티브 매니저를 이기지만, 과거 3·5·10년 성과와 이후 성과 사이에 상관관계가 거의 없어 좋은 매니저를 고르기 어렵다. [시가총액 가중 인덱스의 한계] 시가총액 가중 방식은 고평가 종목을 자동으로 더 많이 사고 저평가 종목을 덜 사는 체계적 오류를 낳아 연 약 2%의 비용을 투자자에게 전가한다. 시장이 비효율적이라는 전제(벤저민 그레이엄, 버핏 견해)에 기반한 주장이다. [대안 지수] 동일가중, 펀더멘털 가중 지수는 오류를 무작위화해 연 약 2%를 회복한다. 발언자는 가치투자 기반 '밸류에이티드' 지수를 제시하며, 저렴한 기업에 더 많이 가중하는 방식으로 최근 20년간 S&P500·Russell 1000 대비 연 약 7%p 높은 수익을 냈다고 주장하고, 변동성·베타는 동일하다고 설명한다. [단기화와 기회] 투자 세계가 단기 지향적으로 바뀌어 고점 매수·저점 매도 행태가 확산됐고, 기관화로 분석·평가 주기가 짧아지면서 장기 관점 유지가 어려워졌다. 그래서 가치 팩터는 최근 20~30년 오히려 강해졌다. [성과 추구의 역설] 발언자의 1980년대 경험담: 펀드오브펀드가 월간 수익률을 요구했고, 자신의 1.1% 상승이 동료 평균 1.2%보다 낮다는 이유로 질책받았다. 장기 관점이 중요하다는 취지. [통계] 최근 10년 상위 25% 매니저의 97%가 최소 3년간 하위 절반에 있었고, 79%는 하위 4분의 1, 47%는 하위 10%에 최소 3년 머물렀다. 2000년대 최고 뮤추얼펀드는 연 18% 수익을 냈지만 투자자 평균 수익률은 연 -11%였다. 이유는 투자자들이 실적 부진 시 이탈하고 상승 후 추격 매수했기 때문이다. [결론] 장기 시야를 지키고 가치 기반 지수 전략을 쓰면 개인도 기관을 이길 수 있다. [리스크·조건] 발언은 과거 백테스트와 저서 기반 주장으로, 미래 성과를 보장하지 않는다. 특정 종목 추천 없음. [출연자 전망] 특정 자산에 대한 가격 방향 예측 발언은 없고, 장기적 투자 원칙과 가치투자 우위를 강조.

다듬은 글

※ 자동 자막 원문(다듬기 전)

01. uh you maintain that in 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 um most people know that uh the typical index funds the S P 500 and the Russell 1000 uh if you invest in those uh they beat most managers but roughly about 70 percent of the managers uh 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 uh would be to say well I know only 30 percent 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 uh so that's why you know most uh you know many uh at least advisors have have recommended and and possibly rightly uh that index funds for the individual investor who doesn't know how to pick stocks on their own is maybe a good uh 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 beat the most active managers they're still very seriously flawed and they do something that costs investors about two percent a year uh 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 is the losers right so if you believe like Ben Graham or uh Warren Buffett that the Market's sometimes emotional it's not efficient like so many professors have professed over many years it's not efficient uh that means that if the market does get emotional over the short term uh that some stocks are overpriced and some are underpriced and a market uh a market cap weighted index uh if a stock is overpriced it buys too much of it automatically and if it's underpriced it buys too little of it automatically because it's based in a market cap which is essentially price so it sounds crazy but it actually systematically doing the wrong thing at every Point uh whenever there's an inefficiently priced stock and so there's an easy way to correct that and they're actually equally weighted indexes instead of putting uh putting more in the larger uh 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.

02. it still makes plenty of errors in other words it's an equally waiting but those errors are now random not systematic like a market cap weighted index so you actually get back the two percent a year uh and a few people have come out with something called fundamentally weighted indexes it's just another way to weight stocks uh without using price and therefore the errors in those indexes are also random and you get back to two percent 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 create 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 uh you know the S P 500 or Russell 1000 index has the same volatility has the same beta yet uh over the last 20 years you would earn seven percent more a year uh following that strategy and it's it's ridiculously simple just put more weight in the cheaper companies uh before we get to that you uh 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 by high sell low that's a really great Point uh big picture is that uh when you when you look back 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 um I'll just tell a quick story I tell in the book which was that uh in the late 80s I had an investor in my partnership uh one of the first fund of funds and these are uh uh 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 I knew about uh asked to invest in our partnership and at the time I was writing quarterly letters and that seemed to be fine for my investors uh but the fun to fund said well we have to report more often so could you give us monthly returns so I said sure I'll tell you the monthly returns as as they come in and uh sure enough after the first month that uh this fund had uh money with us we reported back that we were up 1.1 percent which we thought was pretty good but I got a call from the fund of funds and said well you know we have a lot of other managers that do similar things to you and the average one of those was up 1.2 percent last month to what do you attribute your underperformance and uh I politely told uh the fund of funds to call me back in a year I probably should have told to call me back in four or five years but I don't think they would have stuck around uh so long so I figured I'd settled for one year but the world has become much more institutionalized since then uh people uh look at Daily returns weekly returns monthly returns they get analysis over the month or the quarter it's very hard to keep a long-term Horizon when you're investing in the stock market you know four or five years is more a more reasonable time frame to judge anyone's uh performance and so you get hyperactivity which research shows does not lead to better returns exactly so what happens really is is that uh you know if you underperformed in the last six months year two years uh people chase performance so they take money out of you and and put into someone else and another statistic I wrote In the book which I think is the most telling is if you look at the top performers over the last decade the top 25 percent of managers that have uh outperformed came up with the best record for the last 10 years uh 97 percent okay 97 of those top managers uh spent at least three years in the bottom half of performance 79 spent at least three years in the bottom quartile of performance and uh almost half 47 spent at least three years in the bottom 10 percent of performance so you know all their investors left if they did that but these are the ones who ended up with the best long-term record most people leave them most people don't stick around uh for long enough uh one other thing I write up was the top uh in the decade of the 2000s you know that 10-year period the top performing mutual fund was up 18 a year uh the average investor in that fund lost 11 a year that was the best one uh why is that it's because every time the fund underperformed people left every time the market went down people left every time it outperformed people piled in right after the outperformance right after the market went up people piled in so with all the investors Market decision the average investor you know average dollar weighted investor in that fund over the last decade the best fund ended up losing 11 percent