저자: JoelGreenblatt · 외국인
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결론: 지수 투자만이 답이 아니며, 저평가된 기업을 가치 기준으로 골라 장기간 기다리는 방식이 유효하다는 주장. 서두: 워런 버핏도 대다수 사람에게 지수 투자를 권하지만 본인은 지수 투자를 하지 않는다고 언급하며, 주식시장의 원리를 설명하려는 취지를 밝힘. 주식시장 설명: 한 번에 여러 사람의 추측을 모으면 평균이 실제 값에 가까워지는 자신의 젤리빈 실험을 예로 듦. 주식시장은 군중의 '두 번째 추측'(뉴스·주변 반응에 따른 추측)이며, 기업 가치를 냉정하게 계산하는 것이 더 나은 추측이라는 입장. 경쟁 우려 반박: 컬럼비아 수업에서 자주 나오는 '컴퓨터·데이터 증가로 기회가 줄었다'는 질문에, 1997년 이후 S&P500이 2배→반토막→2배→약 3배 등 큰 변동을 겪었다는 점을 들어 사람들은 여전히 비이성적이며 기회가 존재한다고 반박. 기업 가치평가 방법: 기업 주식은 종이가 아니라 사업의 소유권이므로 집을 평가하듯 임대수익률과 주변 시세 대비 상대가치를 함께 본다고 설명. 상대 저평가만으로는 부족하며 절대·상대 지표를 교차 검증한다고 함. 백테스트 차트: 1992~2012년 미국 상위 2000개 기업을 저평가 순위별로 나눈 결과, 가장 저평가된 집단의 1년 후 평균 수익률이 가장 높고 고평가 집단일수록 낮아졌다고 제시. 저평가 상위는 매수, 고평가 하위는 공매도하는 전략이 논리적이며 자신들도 이를 실행한다고 설명. 인내와 리스크: 이 방식이 몇 년간 통하지 않을 수도 있으나 전략을 바꾸지 않고 기다려야 한다고 주장. 모멘텀 전략은 과거 30~40년간 유효했지만 군중이 몰리면 효과가 degrade될 수 있다고 언급. 이익 없는 기업이나 과도하게 비싼 기업을 사지 않는 원칙을 강조. 차익거래 비유: 뉴욕·런던 금 가격 차이는 즉시 사라지지만, 2~3년 뒤 수익을 기다리는 가치투자는 시간 차익거래이며 대부분 투자자가 인내하지 못해 이 기회가 남아 있다고 설명. 결론: 저평가된 좋은 사업을 사서 시장이 가치를 인정할 때까지 기다리는 것이 핵심이며, 본인은 이를 '시간 차익거래'로 본다.
다듬은 글
so even warren buffett says the vast majority people should index and i agree with him so are there any questions or do i have any time then again i get well i have time so uh then again you know warren buffett doesn't index and neither do i so i thought i'd tell you why and then maybe you'll have some more information to decide for yourself what makes makes sense for you and in a sense it shouldn't be that hard i actually i had a friend who's an orthopedic surgeon and is in charge of a group of orthopedic surgeons they asked me to speak to them at a dinner about the stock market and i said okay these are smart educated guys they can understand this stuff and i i spoke for about 35 minutes explaining how the stock market worked and everything else and then i started getting questions along the lines of oil went down two dollars yesterday what should i do or market was up two percent yesterday uh what do i do about that so my interpretation of those questions was i had just crashed and burned uh last year i was lucky enough to be asked to teach a ninth grade class a bunch of uh kids uh mostly from harlem and i had just sort of crashed and burned with the orthopedic surgeons and i didn't want to do that with the kids uh and so i started to try to think of what could i do uh to explain the stock market a little bit better and so i walked into class the first day and i handed out a bunch of three by five cards and i asked uh i brought in this jar of jelly beans right here and uh i asked uh the students uh you know passed around the jar jelly beans asked them to count the rows do whatever they wanted to do and write down their best guess for how many jelly beans were in the jar collected the three by five cards then i went around the room one by one to each one of the kids in the room uh and i said listen you can keep your guests you can change your guests that's up to you and i went one by one around the room asked people how many and wrote down the the various guesses so it turned out the uh guess uh the average of the guesses for the three by five cards was 1771 jelly beans uh there are 1776 jelly beans in the jar so that was pretty good the guests when i went around the room that was 850 jelly beans uh and i explained to them that the stock market's actually the second guest okay because everyone knows what they just read in the paper what the guy next to them said what they saw in the news and uh are influenced by everything around them uh and that was the second guess and that's the stock market the cold calculating guess when they were counting rows and trying to figure out what was going on that's actually was the better guess that's not the stock market but that's where i see our opportunity you know once a year in my class at columbia i uh at least for the last five six years somebody raises their hand and asked a question that goes something along the lines uh something like this hey joel congratulations you've been doing this for 35 years and you've had a nice record but now there are more computers there's more data there's more ability to crunch numbers and kind of isn't the party over for us isn't it just more hedge funds there's just a lot more competition isn't the party over for us so my students are generally second year mbas i'd say average age 27 or so uh so i just answer it this way i don't let's go back to when you learn how to read let's take a look at the most followed mark in the world that would be the united states let's take a look at the most followed stocks within the most followed market in the world those would be the s p 500 stocks let's take a look at what's happened since you learned how to read so i tell them from 1997 when they were 9 or 10 to 2000 the s p 500 doubled from 2000 to 2002 it halved from 2002 to 2007 it doubled from 2007 to 2009 it has and from 2009 to today it's roughly tripled which is my way of uh telling them that people are still crazy that was just the last 17 years in a way understating the case because the s p 500 is an average of 500 stocks if you lift up the covers and look underneath what's going on this huge dispersion of those 500 stocks between those at any particular time that are in favor and those that are out of favor and so there's a wild ride going underneath the covers if you look under the covers the wild ride of those 500 stocks at any particular time and that doubling and having doubling and having with the average of 500 stocks really smoothing the ride so there should be uh an opportunity and uh if you understand what stocks are and i uh guarantee my students first day of class uh make a guarantee every year they walk in and i guarantee them this if they do good valuation work of a company i guarantee them the market will agree with them i just never tell them when it could be a couple weeks could be two or three years but if they do good valuation work the market will agree with them stocks are not pieces of paper that uh bounce up and down you put complicated ratios on like sharp ratios or certain ratios stocks are ownership shares of businesses that you are valuing and if so incline tried to buy at a discount so if you believe what ben graham said that this horizontal line is fair value and this wavy line around that horizontal line are stock prices and you have a disciplined process to buy perhaps more than your fair share when they're below the line and if someone clients sell or short more than your fair share when they're above the line the market is throwing us pitches all of the time uh the reason people don't outperform the market they're a behavioral problem there are agency problems but it's not because we're not getting those uh opportunities i will show you briefly let me tell you how we value stocks it's not very tough and i think most of you will understand it i think the best example that resonates seems to resonate with most people is thinking about buying a house and to keep the numbers simple let's say that someone is asking a million dollars for the house they want to sell and your job is to figure out whether that's a good deal or not so there's certain questions you would ask first one of the first questions i'd ask is well how much rent could i get for that thing okay so in other words if i rented out that million dollar house how much rent would i collect if i we're going to collect 70 80 90 000 a year seven eight nine percent yield on that house that's one way i might go about valuing it and what's the next question you would ask i'm pretty sure i know what it would be uh what are the other houses on the block going for the block next door in the town next door how does this compare how relatively cheap is this relative to all my current choices so that's what we do we look at how relatively cheap is this business relative to other similar businesses relative to a whole universe of choices that i have we do that we also go back in history look at how this company or this house has traditionally been valued versus other ones in the neighborhood or versus uh other communities and how is it being valued now so measures of absolute relative value absolutely cheap you know on a rental basis absolutely cheap or relatively cheap on all different kinds of measures that that makes sense to you now you wouldn't use any of these measures all by themselves if you just use relative cheapness uh if some of you remember the internet bubble and you bought the cheapest internet stock that wasn't cheap it was just cheap relative to all the other crazy priced stocks at the time but we uses we use our measures of absolute relative values checks and balances against each other try to zero in on fair value so when you do this uh just want to show you a simple chart uh this is actually a study we did of our evaluation methodology very very similar to the way i just said we value a house this is how we we looked at the 2000 largest companies in the us over 20-year period this was 1992-2012 and we rank them on a daily basis from one to two thousand based on their discount to our assessment of value using these metrics the x-axis here you probably can't see it uh is just the valuation percentile all this means is if you're in the bottom left-hand corner and you're in the first percentile you're the 20 companies at any particular time out of those 2000 that measure cheapest according to our measures of absolute relative value you go to the 99th percentile you would be the 20 companies that most expensive out of those 2 000.
the y-axis is uh the year forward return on average during those 20 years what this chart simply says is on average stocks that fell in our first percentile the cheapest 20 averaged a one-year ford return during those 20 years of 38 percent stocks that ranked in our second percentile average to one year forward return of about 37 and then we dropped down to this best fit line which we always say we don't mind missing when we're making extra money and then as we measure something more expensive the year forward return drops and if you were sitting in my class at columbia and i said hey does anyone see a long short strategy you might pursue if you predict ahead of time which stocks would do best second best third best in order and you did not say i guess i'd buy these guys up here in the upper left-hand corner and short these guys in the bottom right-hand corner if you didn't say that i'd probably throw you out of class because it's very straightforward that's what you should do and by the way that's what we do the important thing to understand is that stocks are ownership shares of businesses okay now uh by the way that beautiful chart i showed you with the 90 fit you know why doesn't everyone do this well unfortunately doesn't look like that when you're living through that that's an average over 20 years if i showed you snippet of three or four years if it would be nice it might be five point six something like that but it's uh not gonna be very cooperative right if what we did work every day and every month and every year uh everyone would do it it would stop working but but it uh it doesn't unfortunately but the reason that we stick to what we're doing even when it's not working is that chart meaning the way we value companies our measures of absolute relative value or approximately how the market values them over time if we were for instance momentum investors okay and i will tell you that uh for those of you who know what that means momentum has been studied uh across the globe over the last 30 40 years in the u.s it's worked pretty much everywhere not all the time but on average it's worked very well over 30 40 years and not just in this country but here's the problem what if it didn't work over the next two or three years it could be uh that we just have to be patient you know it's it works overtime and it's cyclical and so it's out of favor and we just have to stick to our guns because it's something that's worked or it could be if it didn't work in the next two or three years that the explanation is hey it's not so hard to figure out stock used to be down here and now it's up here it's got good momentum with all the data and the ability to crunch numbers and computers and studies that have come out it's a crowded trade it's degraded it's not as is not as uh good as it used to be and if that's what happened over the next two three years i would know the answer to that question i didn't know which one it was should i just be patient or has the trade degraded but if you view stocks there's ownership shares of businesses that you value and try to buy a discount and that doesn't work for a couple of years i'm not going to change what i'm doing i'm not going to buy the bottom uh right-hand corner you know by all the money losers and the companies that don't earn anything or trading at 100 times free cash flow i'm not going to buy those even if it works in one particular year and then sell the ones that are cheap relative to everything get me high rents and everything else i'm not i'm not going to change my strategy and i believe that stocks will eventually not right now but eventually uh people get it right and i may have to be patient that's really what i have to do what that chart tells me is i'm on the right track meaning that's sort of our true north and we just have to be patient to get there uh the reason that these simple metrics don't get arbitraged away is the example i uh usually use for arbitrage is uh oh you see gold in new york at twelve hundred dollars and and it's selling at london simultaneously at 1201.
well an arbitrage sitting on a trading desk someplace we'll see that and buy a gold in new york at 1200 and push the price up a little bit he'll simultaneously sell gold in london to 1201 push the price down and they'll convert someone somewhere in the middle it'll happen so fast on a trading desk that you don't really even get to see that but what if i told you you could buy gold in new york today at 1200 sometime in the next two three years you're gonna make money but you could lose 20 of your money while you're waiting there's no guy sitting on a desk anywhere that really uh can do that and and frankly time horizons are getting shorter uh it used to be when i was younger i used to get quarterly statements and most people would throw them in the garbage now you can check your stock price 30 times a minute on the internet maybe some of you do and time horizons are shrinking and we're just playing time arbitrage we're being patient buying cheap good businesses and waiting for the market to recognize the value we see
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