저자: JoelGreenblatt · 외국인
요약 보기
주식은 사업의 지분이므로 절대·상대·역사적 밸류에이션으로 저평가 기업을 고르는 것이 합리적이다. 1992~2012년 미국 상위 2,000개 종목 분석에서 밸류에이션 백분위가 낮을수록 1년 forward 수익률이 높았고(1퍼센타일 약 38%), 이는 장기 평균이며 단기에는 잘 맞지 않는다. 밸류 전략이 안 맞는 시기에도 장기적으로 유효하니 원칙을 지켜야 한다.
다듬은 글
You know that there's no strategy that works like this everyday and every month and every year and neither does this. This is an average over 20 years. We value businesses. Once again, that's what stocks are. It's an ownership share of a business. So, how do we do that? There's really no black box to how that looks at.
The analogy I usually use for my students and and whenever I'm trying to teach anyone about investing, I I try to use an analogy that they can relate to. And so, I use buying a house. And let's say they're asking, to keep the number simple, a million dollars for the house. And your job is to figure out whether that's a good deal or not.
Okay? So, what are the questions you'd ask to try to figure out if that million dollars was a good deal? One question you might ask is uh if I rented that house out, net of my expenses, how much would I get? So, if I could rent out that house for 70 70 or 80,000 dollars a year, net of my expenses, and we know interest rates in the US anywhere around 3%, that might look pretty attractive.
So, that might be one question I would ask. Another question I might ask is one I'm sure you would ask next, too. It would be like, what are the other houses on the block going for and the block next door and the town next door? How relatively cheap is this relative to other similar houses? And that's what we do, too, for companies.
We say, how cheap is this business relative to other similar businesses in the same How cheap is it relative to all businesses that we can buy right now? We also go back in history and we say, how is it being priced now versus how it's been priced versus other companies historically? So, what that really means is if a company has traditionally been premium priced relative to the market and now it's available at an average price, well, it's cheaper than it's traditionally been.
And that particular measure of relative value would get a good grade. If a company has been bargain priced traditionally relative to the market now it's an average price, it's more expensive than it's traditionally been. On this particular grade, it might get a bad grade. So, we just use our measures of absolutely cheap, relatively cheap
[snorts] versus similar companies, relatively cheap versus all companies and relatively cheap versus history. To tell you how powerful that is, if we can queue that one slide I have, hopefully we'll find it. Just caught a glimpse of the back of my head. That wasn't good. Anyway, um right here on the x-axis is our valuation percentile.
This is a study that we did the 2,000 largest stocks in the United States over a 20-year period from 1992 to 2012. We just updated for the next 5 years, it looks exactly the same. But this is a 20-year period, '92 to 2012. The x-axis is the valuation percentile. So, we're looking at the 2,000 largest companies in the US.
The bottom left-hand corner, uh if you fell in the first percentile, uh you would be the 20 stocks at any particular time that measured cheapest according to our measures of absolute and relative value. And I just went through them with you. Okay? Absolutely cheap on a castle basis, relatively cheap in various ways.
If you fell in the first percentile, bottom left-hand corner, you're the 20 cheapest stocks out of the 2,000 largest. On the right-hand corner, and you fall in the 99th percentile on the x-axis, you are the 20 stocks that measured most expensive at any particular time. The values of businesses aren't changing daily, but the prices are.
So, the rankings of the companies change daily. So, now the y-axis, more importantly, is the year forward return for stocks in each percentile during those 20 years. So, what this says is stocks that fell in our first percentile averaged a one-year forward return of 38% during those 20 uh during those 20 years.
Stocks that fell in the second percentile averaged a one-year forward return of 37%. Then we drop down to that best fit line, which we never mind missing when we're making extra money. And as we measure something more expensive, the year forward return drops, and it's pretty linear. In fact, if we hadn't missed so badly the the best fit line in percentile one and two, and I never mind making extra money, and we move those down to the best fit line, that fits about 0.9%.
So, the measures of absolute and relative value I just told you about more accurately how the market values companies over time. Isn't that great? And if you were sitting in my class at Columbia, and I said, "Does anyone see a long-short stock trading strategy that you would pursue if you could predict ahead of time which stocks would do best, second best, third best a year forward?" And you didn't say, "I guess I'd buy those guys in the upper left-hand corner and short those guys in the bottom right-hand corner." If you didn't say that, I'd throw you out of class.
Cuz it's pretty straightforward that's what you should do. And that's what we do. So, if you've been uh you know, in other words, valuation, these simple valuation metrics act like gravity. So, what's wrong with this chart? If you've ever been investing, you know that there's no strategy that works like this everyday and every month and every year and neither does this.
This is an average over 20 years. If I showed you a snippet of two or three years, it would be a nice fit, but it would be like 0.5, 0.6, right? If what we did worked everyday and every month and every year, everyone would do it. It doesn't work quite that way, but this tells us we should stick to our guns.
So, if two years from now, the way we value companies and rank them in the simple way we talked about houses, if that doesn't work, it's certainly possible the market doesn't reward us, but we're not going to change what we're doing cuz that's the way stocks are priced over time. We're going to be very patient.
Since stocks are ownership shares of businesses that we value and try to buy at a discount, that's never going out of favor. Momentum may go out of favor. Low price book investing, low price sales investing may go out of favor, but this is why we stick to our guns when it's not working. What we do makes sense over time.
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