저자: JoelGreenblatt · 외국인
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한 줄 결론: 저PER 투자는 장기적으로 잘 작동하지만 기관과 개인 모두 중간 손실을 버티지 못해 실행이 어렵고, 그래서 전략이 계속 통한다. 전략 성과의 특성 저PER 최하위 10분위는 전체 기간 약 15% 수익을 냈으나 변동이 크다. 가치투자는 3~4년, 때로 더 길게 성과가 나지 않는 구간이 있다. 왜 계속 통하는가 기관은 장기 손실 구간을 견디기 어렵고, 이것이 전략을 따르기 어려운 이유다. 대부분의 종목은 정량 모델이 아니라 단기 실적 악화 우려에 따른 매도로 저평가된다. 사례 1 (책 저자) 40년 데이터로 최적 전략을 찾아 펀드를 시작했으나 초기 3년 부진 후 운용사를 매각했다. 이후 인수자가 같은 공식을 유지해 상위 펀드가 되었고 약 20억 달러가 모였다. 사례 2 (리치 페지나) 1990년대 후반 가치 부진기에 초기 4년 동안 시장을 크게 하회했다. 고객 대부분이 자금을 회수했으나 그는 전략을 유지했다. 이후 약 150억 달러를 운용하며 설립 이후 연 700bp 초과 성과를 냈다. 종목·자산 관련 예측 강연에서 대상 자산에 대한 1~3개월 가격 방향 예측은 없다. 리스크와 조건 단기 실적 부진 시 저평가가 더 심화될 수 있다. 인내 없이는 장기 초과수익을 얻기 어렵다. 출연자 전망 장기적으로 저PER 전략은 유효하다는 견해이며, 단기 방향 예측은 없다.
다듬은 글
you you can try more than just buying little pe stocks um you can do incredibly well and so the answer is why i'm not worried you're saying why does this work uh i guess but but my question is almost more why does this continue to work in other words i understand why low pe investing inherently works uh i'm i'm more wondering why since what you're saying is sort of the natural order of things where there's reversion to the mean and you know things that are doing badly get better and things that are doing well don't stay as well and they're they sort of collapse and if you buy this cheap it'll get better usually i understand that's why it works i'm understand i'm not understanding why everyone doesn't do it because they know this well i think that's right i think that's part of that uh what haugen wrote was if you're a big institution uh this is you know buffett said i'd rather have uh you know a bumpy 15 percent than a than a straight 12 okay and some people would rather have the straight 12 or straight 10 than a bumpy 15.
and here this is these are kind of bumpy returns yes over the full period decile 1 did do 15 but there are huge periods as we saw the cycle of value investing where there could be three four year periods sometimes longer where it doesn't work and then you say uh things have changed people are doing it whatever it might be so it's not just this always works if it worked every year wouldn't work it works most of the time you know over long periods of time so i think that's one good answer that from an institutional standpoint you can't live through the down downturn so it's a very hard strategy to follow still you might be perplexed as to why because it continues to work everywhere why more people don't do it yet you know i i mean i i think we're going back to the question of why i'm not really worried i mean that's what i'm trying to get back to you know why am i not worried that if i tell you all this stuff you know there'll be no more opportunities i think on the margin most stocks aren't priced based on someone doing a quantitative low pe model even though some people are i think they're priced because someone says this is terrible i got to sell my stock and that's you know or next year or two is going to be bad i don't want to own this in my portfolio because i'm an institutional manager and i got to pick stuff that i think is going to do well because i'll be out of a job in two years if by the time this thing turns around or before the market so i know it's cheap but i still got to sell it or if i'm an analyst at a firm which i really can't understand the logic but it's more like they're not going to do well next quarter so therefore the stock is no good they make that connection which you know the stock is not something i want to own which there should be not that much correlation you know it takes price out of the analysis but that's where a lot of bargains come and you know if you were here a few years ago i used to come in and and bring in the analyst reports of you know i know this is only at six times earnings but next quarter is really going to stink okay and that that's the analysis you know and so we're gonna buy it when things get better and there's many of those um so i don't know if i answered your question as to exactly why you know i'm not worried that i'm teaching this stuff uh i think there's a plenty for any everyone and b this kind of stuff's been going on for years and years everyone knows it it's hard to do it's hard to do it's hard to have that outlook it's hard to live through the tough times um the the two examples i uh give in my book um are i don't mention it by name but there's a book that i recommended to you guys what works on wall street and in that book the guy goes back 40 years uses compustats data to go test you know 30 or 40 different strategies uh and comes up with the one or two that are the best of all the strategies over 40 years and what he did when he wrote this book in about i think it was 96 or 97 originally he started a mutual fund yes good so that's good to know but let me uh with regard to the story was he did i thought the book was very good i recommended it to you he did very good analysis uh you know it's very interesting to see what works and what doesn't over long periods of time uh so anyway so the guy who wrote the book uh he ends up setting up a mutual fund to take the best strategy that he had over the 40 years and start a mutual fund and so what happens well uh the first year he doesn't do too well the second year he underperforms the market by 25 the third year uh he doesn't uh compete well with funds of similar you know again he doesn't compete well with similar funds and so what he does is he sells his management company to somebody else and what happens after that so anyway so he's so it's three years it hasn't worked out okay the thing that's done so well for 40 years it hasn't worked out now he wants to do some other venture so he sells his business but this is the guy who did all the tests this is the guy who wrote the book okay he sells out so what happens the guy who buys the company continues the same exact formula over the next three or four years it's one of the top performing funds which makes it he does so well during those three or four years that even including in the bad first three years the guy is blowing the doors off of every other fund is now has about two billion dollars in this fund yet the guy who wrote the book who did all the tests he couldn't hang in there okay uh you know he had other things to do not you know i didn't even mention his name in the book because i thought he wrote a good book and i didn't want to but he's the guy who did the work and he didn't make it i mean he he sold out before it could turn around and that's what happens to investors uh i also tell the story of uh actually not by name but you met him rich pezzina and the first four years in business uh he didn't do well it was the late 90s value was out he was under performing the market by huge amounts doing exactly the kind of work he was doing here buying stocks that were cheap the market didn't care about you know they were earning a lot of money that were in good businesses you know all these great things and he underperformed and uh you know we had a discussion uh and you know he was going to keep doing what he was doing because he thought what he was doing was right and i agreed with him uh the only people who didn't agree with him were his clients and so they basically pulled out most of his money during those four years and you know the rest of the story he continued doing what he was doing he way outperformed everyone has now you know probably beaten you know he's running 15 billion dollars outperformed the market since inception including the bad years by 700 basis points a year um you know on huge amounts of capital which is hard to do you know one of the top you know one percent of funds uh and that's what happened to him when he was doing bad but almost went out of business and now there are um you know out of hundreds of investors there's four people who remain you know who stayed for the whole time and i wrote up on one of them because i said i had to stay because i was his friend but but basically people don't hang in there so to explain why this is really tough to do and why it keeps working i think that's the good news it's hard to do it's hard to stick it out and while it seems like the statistics are i much better statistics in the book and i'll explain you know just trying you know how trying does um you can try more than just buying little pe stocks um you can do incredibly well and so the answer is why i'm not worried or you know when you can buy a reasonable bargain might not be a time that's easy for people to buy or people might not value the quality in buffett's case a lot of times people won't value the quality of the business or understand the quality of business as well as he does you know the long-term prospects even if there's especially if there's a short-term uh blip
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