저자: JoelGreenblatt · 외국인
요약 보기
결론: 매직 포뮬라(수익수익률+자본수익률 순위 결합)는 가치투자의 변형으로 장기간 시장을 상회해 왔으며, 앞으로도 장기적으로 유효할 것이라는 취지. [포뮬라 개념] 벤저민 그레이엄의 저평가 매수와 워런 버핏의 우량기업 선호를 결합한 방식이다. 저평가는 EBIT를 기업가치(EV)로 나눈 수익수익률로 측정한다. 우량성은 EBIT를 순운전자본+고정자산(유형자본)으로 나눈 자본수익률로 측정한다. 두 순위를 합산해 상위 기업을 고른다. [검증 결과] 상위 1000개 기업(대형주 약 20%) 기준 장기 검증에서 S&P500 대비 두 배 가까운 수익이 나왔다고 설명했다. 상위 2500개를 10분위로 나눈 실험에서도 1분위가 2분위를, 2분위가 3분위를 순서대로 이기는 단조 성과가 확인됐다. 금융주와 유틸리티는 제외했으며, 포함 여부에 따른 S&P500 대비 차이는 0.1%p 이내였다. [실전 성과] 최근 10년(2007년~2017년 9월) 기준 S&P500은 거의 하락했으나 전략은 약 288% 상승했다고 주장했다. 최근 5년은 시장 약 5% 대비 전략 약 72%로 연 10%p 이상 초과 수익이 났다고 밝혔다. [방법 공개와 리스크] 책 출간과 포뮬라 투자 서비스 운영(Blake Darcy와 공동)을 통해 방법을 공개했다. 그는 전략이 매년 이기지는 못하며 3년 이상 부진한 구간이 있을 수 있다고 강조했다. [출연자 전망] 전략이 지속 유효할 것이라는 장기 견해를 밝혔다. 개별 종목·자산에 대한 가격 방향 예측은 없다.
다듬은 글
Joel good to have you with us let's begin by having you describe this magic formula that enables you to do so well in the stock market and you actually wrote a book on it the little book that beats the market and this was several years ago and you're still alive and you're still beating the market so can you describe it for us please sure it's really a basic value investing you know based on both Benjamin Graham and and and Warren Buffett I start investing back in the early 80s phul for a period of time and some of the things that I teach over at Columbia and and the reasons why I think we were able to make money I kind of put down in this book and and there were two main principles one from Graham one from buffett grams was figure out what something's worth and pay a lot less for it you know so if you can buy a cheap that's a good thing and so we measure cheat by getting a lot of earnings for the price we pay so it's really the inverse of the p/e ratio earnings to price we don't use simple earnings and we don't use simple price but that's the same concept we take into account different tax rates and different amount of debt that companies have and things of that nature but basically all we're trying to do is get a lot of percolators five-minute price value as you say it right so the concept where we look at it ebit earnings before interest in taxes to take out companies with different amounts of debt and task levels which is earnings before interested in taxes and we compare that to enterprise value which is basically the stock price plus the amount of debt per share that a company has so we're just sort of leveling the playing field for companies to take on debt and companies that don't but when you buy a share of stock what you're really doing is paying for the equity but you're also assuming the debt that the company took on so we're taking that into account but really all we're doing is comparing the earnings of a company to the price that we're paying the other concept sort of what Warren Buffett brought to the table I think from a teacher Ben Graham was well cheap is great but if I can buy something that's also good in addition to cheap so if i can buy a good company the cheap price that's even better than just looking at cheap alone and so we use a concept which is we turn on tangible capital really also learned from buffett which basically says a business to operate needs working capital and it needs fixed assets and the question is how well does a company turn that working capital fixed assets into earnings so we compare earnings to net working capital plus fixed assets to see what time kind of return on tangible capital capital of a company can earn so the higher the better I gave an example in the book I was actually trying to explain this concept to my son and we were going to school one day and gum yes and we saw and we saw one of his friends and you know my son heart starts telling me the story that his his friend goes to the candy store every morning buys a few packs of gum he pays twenty-five cents for a pack there's five sticks of gum in a pack and in school since it's tough to get the gum you can sell each stick for about 25 cents each so it collects a dollar and a quarter for a pack that he paid a quarter for and here's a dollar for each pack that he can sell in school so he's making three to five dollars a day you know just selling gum in school so I told my son imagined that this kid Jason grows up and he opens a gum store and close to Jason scum store and each one of those gum stores costs four hundred thousand dollars to open for inventory for the displays and the store itself it's four hundred thousand dollars each year that store earns two hundred thousand dollars so we look at that as a fifty percent return on capital if he can lay out four hundred thousand dollars once and and it spins out two hundred thousand dollars a year that's a fifty percent return on capital for each store that he can open then I told my son to imagine another store they'll call it just broccoli and all it sells is broccoli and it still costs unfortunately four hundred thousand dollars to open that store but each year that store only earns don't ask me out ten thousand dollars a year and that we said ten thousand dollars divided by four hundred thousands of two and a half percent return on capital and when we rank businesses we say fifty percent return on capital is better than a two and a half percent return on so what we did for the what I call the magic formula in the book is we rank all companies based on their return on capital and we also rank all companies based on how cheaply we can buy them relative to their earnings the more earnings the better then we combine those rankings and the companies that have the best combination of that ranking go to the top so we're not looking for the cheapest company we're not looking for the highest return on capital company we're looking for the companies that have the best combination of those two attributes and this is what I've been teaching for years and years but I never really had a proof of concept really I'd never statistically proved out as this makes sense and so about seven or eight years ago I started a project you know have the resources to start a project to actually go back and test what if we did this on a consistent basis over time and the way it worked out was that you could basically if you just bought the top stocks you know and we're talking you know top thousand socks you could basically double the returns of the S&P 500 just sticking with this formula over a la la la by the way how large is the universe what what kind of liquidity factors to you right so we looked at the we did two tests we did smaller cap stocks you know probably the top 30 500 stocks but then we said well what if you can't really buy these so we also did a study which I just mentioned on the top thousand companies the largest thousand companies roughly usually about twenty percent of the actual publicly traded universe how do you count for quality of earnings and things like financial companies which once look very cheap in 2006-2007 but there was a reason why they were cheap right well that's a good point in it can be tough for me to answer because one thing we look at ebit as one of our earnings earnings before interest in taxes if you look at a bank before interest it kind of doesn't make a lot of sense so in our analysis we we eliminated certain types of companies really two types one worth financials they're different animals and there's nothing wrong with investing financials in general but our metrics don't cover financials they're kind of viewed in a different way and this formula does not apply to them I wrote the book in 2005 not anticipating any financial crisis or anything like that it would really eliminate it because they weren't really appropriate for financials the other or utilities because utilities are regulated entities where their returns are regulated they're not really capitalist companies and so they don't follow the same rules as what we're looking for so we also eliminated those in our study it's just not appropriate the measures we were using so with deception of those two now over the time period that we looked at back to nineteen eighty-eight through you know this year if you take out financials or include financials the return of the SP would have been within one-tenth of a percent the same so the results are pretty robust meaning you know didn't matter whether we used financials or not I think the most exciting thing we found in our research though was not that this just worked for finding the best stocks we said well maybe you get lucky picking the top 30 stocks that meet these criteria so we actually did an experiment and we divided the top twenty five hundred companies into deciles the best 250 according to our formula the next 250 and we have a little bit over 80 everyone and what actually happened was the same thing meaning the top decile beat the second desk i'll beat the third decile all the way down to the 10 top decile in order so we're doing something very powerful here we're sort of saying which group of socks will do better next year that's kind of valuable information if you can put together group of stocks and say which ones will do the best and you know this followed through no matter how large the companies we use so it's very reproducible you know for institutions or you know for a great many individuals obviously individuals have an advantage because they can buy smaller stocks but even institutions can take you manager now well you've had actual experience with this now oh well yes well two things 1i wrote the book five years ago so we actually did a test and over the last we we set up a new test to update the book over the last ten years we opened a firm called formula investing too because I got so many emails from people saying thanks so much for writing a book thanks so much for the formula but can you just do this for me so we got enough of those and I teamed up with the gentleman named Blake Darcy who founded dlj direct and we put together a firm to make it easy for people to do this and we did a study saying if you follow this principle on the the largest twenty percent of stocks over the last ten years what would have happened so the the SP was actually down over the last ten years ending September if you would follow the strategy you would have been up about two hundred eighty eight percent according to our study which is almost quadrupling your money during a period where the market was looked down more importantly I wrote the book five years ago so during the last five years this also continued to do very well meaning the market was only up about five percent during that period and following the strategy would have been up about seventy two percent so you would have beaten the market by more than ten percent a year during that period and I gave away the secret now now that you're applying it yourself do you think is more and more people apply it that it's going to become less effective no I think like this is really just a twist on on value investing and people have known for years I you know their studies been done for the last 40 years on whether it's low p/e investing or low price book investing or whatever and these things work overtime and if I had written a formula up that worked every week and every month and every year it would stop working fortunately this formulas not so great and there are you know during the line that you can have years works not going to work right so in other words over the last 22 years have been one year period to your periods and occasional three-year pair
Comments 0