저자: AndrewBrown · 외국인
요약 보기
마법공식(Magic Formula) 투자법을 소개·검토한 영상이다. 결론: 장기(10년 이상) 성과는 입증되었으나 실행 난이도가 높아 중립적 평가. 마법공식 개념: 저평가(이익수익률 EY)와 높은 품질(자본수익률 ROC)을 두 축으로 순위를 매겨 합산 순위가 낮은 기업을 고르는 방식이다. 원저자는 Joel Greenblatt. 백테스트 수치: 1988~2004년 연 약 33% 수익률로 시장 약 15% 대비 우수. 2004~2016년(2008 금융위기 포함)에도 장기적으로 우위. 다만 2004~2009년 5년간은 S&P500 인덱스 펀드와 동일 수준, 2015~2019년 5년은 인덱스보다 크게 부진했다. 실행 방법: 매월 2~3개씩 상위 20~30개 종목을 편입, 연 1회 리밸런싱(손실 종목은 연말 1주 전 매도, 수익 종목은 1년 경과 후 1주 뒤 매도로 세금 전략 활용), 최소 5~10년 반복. 스크리너 활용: 시가총액 10억/100억/5천만 달러 기준으로 스크린 후 교차 확인. Biogen이 3개 스크린 모두 등장. 소형주 편중 가능성도 언급. 출연자 전망: 마법공식 자체는 장기적으로 작동할 것으로 보나, 심리적 인내 부족으로 대다수 투자자는 중도 포기할 것이라 판단. 본인은 방법의 과학성은 인정하나 확신은 유보. 개별 종목(Biogen 등)에 대해 강한 방향성 발언은 없음. 리스크: 5년 이상 인덱스 대비 부진 구간 존재, 소형주 유동성·재무 리스크, 개인 실행 난이도.
다듬은 글
Hi, so one of the most popular investing books of the last decade is *The Little Book That Beats the Market* by Joel Greenblatt. It's a fantastic book and I highly recommend reading it. But if you haven't read it yet, don't worry. Today I'm going to give it a full review and explain what the Magic Formula actually is.
The idea behind the Magic Formula, created by Joel Greenblatt, is to make a list of companies that are both undervalued and good quality. That sounds simple, right? The first step is to rank all the companies from most undervalued to most expensive. Greenblatt suggests ranking them by what's called the **earnings yield**. This measures whether a company is generating strong earnings relative to its value. If the company's earnings are high compared to its price, that's a sign of a good deal.
Next, we make a second list and rank all the companies by **return on capital**. This measures how good a company is at making money from the assets it owns. Say a factory has $20 million of machinery and makes $1 million in earnings a year. That's $1 million divided by $20 million, or 0.05, which is a 5% return on capital. Now take another factory with the same $20 million of machinery that makes $2 million a year. That's a 10% return on capital. Since 10% is better than 5%, the second factory ranks higher. Return on capital is a simple, basic measure of company quality.
Now we have two lists: one ranking all the companies by earnings yield, and one ranking them by return on capital. In a demonstration with five made-up companies (imagine it being done with thousands on the U.S. stock exchange), we combine the two rankings into a single **Magic Formula number**. For example, Tiny Tulips came third in earnings yield but first in return on capital, so its combined score is four. Roses R Us was first in earnings yield but fourth in return on capital, giving it a score of five. Just like golf, the lower the number, the better. Tiny Tulips would be the best Magic Formula stock from that list.
Greenblatt is a value investing professor at Columbia University and runs the Gotham Funds hedge fund. He also started the Value Investors Club, an exclusive group of about 250 investors who win $5,000 every two weeks for their best investing ideas. I like Greenblatt because he takes a scientific, data-backed approach, and the Magic Formula is sensible and logical without being complicated. As he said in a 2006 interview with *Barron's*, the formula is designed to help investors buy good companies at cheap prices using a straightforward, non-emotional approach.
1. **Rank all companies** and give each a Magic Formula ranking. 2. **Buy the top 20 to 30 companies** over the course of a year, adding two or three positions each month. 3. **Rebalance annually.** Sell the losers one week before the year ends, then sell the winners one week after the one-year mark. The reason for this timing is tax: holding past one year qualifies for the lower long-term capital gains rate. It's essentially a tax strategy. 4. **Repeat each year** for a minimum of five to ten years, or ideally longer.
The book's back-tested period ran from 1988 to 2004, a good sample size, and the formula returned about 33% a year compared with roughly 15% for the market over that time. That's exceptional, and it's a big part of why the book became so popular.
A more recent back-test covering 2004 to 2016, which included the 2008 financial crisis, shows the strategy still outperformed over the long term. But there are some important points here. If you had invested in 2004 and followed the rules exactly, by 2009 you would have roughly matched the S&P 500 index fund. You could have done all the work perfectly for five years and seen no advantage at all. That shows how hard it is to stick with a strategy when it's not rewarding you.
The graph gets even more interesting with the 2015 to 2019 back-test. Applying the same strategy over that five-year window would have left you far worse off than the index. The strategy appears to have merit over long periods, like ten years or more, but shorter periods can be problematic.
I think this is where the real challenge lies. If you had five years of inferior returns, you'd probably get fed up and make changes to the strategy, or abandon it altogether for some new approach. If I were honest with myself, after five years of underperformance I'd think I was doing something wrong. I wouldn't want to wait fifteen years just in case the strategy still works. The data suggests you may need to wait that long, but very few people have the discipline to do so. That's why I think the strategy is good, yet nearly too difficult for most people to follow over such a long period.
Even if artificial intelligence starts doing stock selection and running funds based on the Magic Formula, there will likely be stretches of inferior returns, and people will still pull their money out. For those who want a set-and-forget strategy that only needs checking once a year, this could be a perfect fit.
There's a simple website for running the screen. You set a minimum market cap. I like to start at $1 billion, then filter for 50 stocks. The site ranks them using the combined earnings yield and return on capital. Looking at the top 50, I recognize several names I've researched before, such as Biogen, Big Lots, Discovery, and Foxconn-related companies. From there, I'd raise the minimum market cap to $10 billion to focus on large caps, which brings in names like AbbVie, Amgen, Biogen, and Intel. Then I'd lower it to $50 million to cover nearly the entire market, including small and micro caps, which hedge funds and big investors often overlook. Biogen appeared on all three screens, which is a very good sign and worth researching further. Finally, I'd narrow the list to the top 30.
I use the screen as a starting point for deeper research, not as a final buy list. Screening like this has its drawbacks. I'll certainly overlook some companies and make mistakes, since some on the list may be about to turn around and take off. I might rule out others because I don't like the industry, find the business model too complicated, or see something concerning in the financials.
So do I trust this method? Honestly, I'm still undecided. The science is staring me in the face, and I can see it will likely work over the very long term. But I'm still a bit unsure whether a magic formula can truly exist. I definitely recommend reading the book for a better understanding of the strategy. It's an easy read, and I'll leave a link in the description. I hope you enjoyed this video. Hit that like button for me, and I'll see you in the next one.
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