저자: JoelGreenblatt · 외국인
요약 보기
가치투자 원칙을 설명한다. 주식은 사업의 지분이며, 가치 대비 할인된 종목을 사면 시장이 결국 가치를 인정한다고 주장한다. 1992~2012년 미국 상위 2,000개 기업 분석에서 저평가 상위 그룹이 1년 후 평균 약 38% 수익을 낸 것을 근거로 든다. 단기 실패가 있어도 전략을 유지하며 '시간 차익'을 노린다고 말한다. 특정 종목이나 자산의 향후 1~3개월 가격 예측은 없다.
다듬은 글
You know, once a year in my class at Columbia, I uh at least for the last 5 6 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 uh 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 uh kind of isn't the party over for us?
Isn't it just a more hedge funds? Is it Is 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 answered it this way. I tell them, let's go back to when you learn how to read. Uh let's take a look at the most followed market 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 uh when they were 9 or 10, uh to 2000, the S&P 500 doubled.
From 2000 to 2002 it halved. From 2002 to 2007 it doubled. From 2007 to 2009 it halved. 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. Uh and I'm way understating the case. Uh because the S&P 500's an average of 500 stocks.
If you lift up the covers and look underneath what's going on, there's 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 on underneath the covers. If you look under the covers, there's a wild ride of those 500 stocks at any particular time.
And that doubling and having, doubling and having with the average of 500 stocks is 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 I of a company, I guarantee them the market will agree with them. I just never tell them when. 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 bounce up and down and you put complicated ratios on like sharp ratios or sortino ratios.
Stocks are ownership shares of businesses that you're valuing and if so inclined try 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 so inclined sell or short more than your fair share when they're above the line, the market is throwing us pitches all of the time.
The reason people don't outperform the market, there are behavioral problem, there are agency problems, but it's not because we're not getting those 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 under stand it. And 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 were going to collect 70, 80, 90 thousand dollars a year, 7, 8, 9% 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 in 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 uh 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 and relative value, absolutely cheap, you know, on a rental basis, absolutely cheap or relatively cheap on all different kinds of measures that that make 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 uh stocks at the time. But we use as our we use our measures of absolute relative values checks and balances against each other to 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 study we did of our valuation methodology, very very similar to the way I just said we value uh a house. This is how we We looked at the 2,000 largest companies in the US over 20-year period. This was 1992 to 2012. And we ranked them on a daily basis from 1 to 2,000 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 a valuation percentile. All this means is if you were in the bottom left-hand corner and you were in the first percentile, you're the 20 companies at any particular a out of those 2,000 that measured cheapest according to our measures of absolute and relative value.
Uh you go to the 99th percentile, uh you would be the 20 companies that measured 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, uh averaged a 1-year forward return during those 20 years of 38%.
Stocks that ranked in our second percentile averaged a 1-year forward return of about 37% and then we drop 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 could 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 cuz 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? Uh well, unfortunately, it doesn't look like that when you're living through that.
That's an average over 20 years. If I showed you a snippet of 3 or 4 years, uh the fit would be nice. It might be .55, .6, something like that. But uh it's uh not going to be very cooperative, right? If what we did worked every day and every month and every year, uh everyone would do it, it would stop working.
But but it uh it it doesn't, unfortunately. Uh 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 and relative value, are 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, uh momentum has been studied uh across the globe over the last 30 40 years in the US. It's worked pretty much everywhere. Uh 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 over time and it's cyclical and so it's out of favor and we just have to stick to our guns cuz 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 a stock used to be down here and now it's up here.
It's got good momentum and 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 as 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've used stocks as ownership shares of businesses that you value and try to buy at 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, buy all the money losers and the companies uh 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 uh are cheap relative to everything, get me high rents and everything else. I'm not I'm not going to change my strategy uh and I believe that uh 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 used for arbitrage is uh, oh, you see gold in New York at $1,200 and and it's selling at London simultaneously at 12:01.
Well, an arbitrageur sitting on a trading desk someplace will see that and buy up gold in New York at 1,200 and push the price up a little bit. He'll simultaneously sell gold in London at 12:01, push the price down, and they'll convert someone somewhere in the middle and 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 1,200 and sometime in the next 2-3 years you're going to 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 can do that and and frankly time horizons are getting shorter.
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. Uh, 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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