저자: NathanWinklepleck,CFA · 외국인
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찰리 멍거식 '높은 자본수익률(ROIC) 기업 장기보유' 전략이 S&P500 대비 장기 초과수익을 낸다는 백테스트 소개 영상. 핵심 개념: 기업이 높은 수익률로 재투자하면 비싼 주가도 장기적으로 정당화된다. 예시로 ROIC 18%는 40년간 주당 이익이 약 750배 성장, ROIC 6%는 약 10배 성장에 그침. 백테스트 1 (ROIC 6% 이하 91개 종목, 2003~2023): 연환산 약 10.2%, 최대낙폭 63.2%, S&P500(최대낙폭 약 55%)보다 샤프·소르티노 비율 열위. 백테스트 2 (ROIC 18% 이상 80개 종목, 2003~2023): 연환산 약 11.6%, 최대낙폭 46%로 S&P500 대비 초과수익 약 200%, 베타도 낮음. 다만 목표 18%에는 못 미침. 주의점: 높은 ROIC를 유지하는 기업을 미리 식별하는 것이 어려우며, 고ROIC 기업도 이후 수익률이 떨어질 수 있음. 영상 말미: 2023년 12월 기준 과거 5년 평균 ROIC 18% 이상인 S&P500 상위 10개 기업 목록을 공개하고, 매월 '커피캔 포트폴리오' 매수 과정을 추적 공유하겠다고 함. 면책 문구 포함. 개별 자산 가격 방향에 대한 단기 예측 발언은 없음.
다듬은 글
It changed the course of Berkshire forever. And let's say these two companies started with earnings of $1 per share . They outperformed by a very significant margin, with almost 200% higher performance. So, which companies make it to this list today ? This video is for educational purposes only. It should not be considered investment, legal or tax advice .
This is not an offer to buy or sell any security . Past performance is not indicative of future results. Investing is risky . So, from 1965 to 2022, Berkshire Hathaway achieved an annual compound growth of 19.8% compared to the S&P 500's 9.9% growth . Warren Buffett is said to be the main reason for this excellent performance.
However, the one person who taught Buffett one thing and changed the course of Berkshire forever was his business partner, Charlie Munger. In this video, I explain what that concept is. Then, I backtest that concept from 2003 to 2023 . At the end of the video, I'll list the 10 largest companies in the S&P 500 that fit this specific criteria .
Since Charlie Munger passed away a few weeks ago , there have been various videos on his life, numerous articles on famous quotes , but I think there is one quotation that sums up Munger's investment philosophy . I think this is the biggest reason Warren Buffett and Charlie Munger have been successful in running Berkshire Hathaway .
In the long run, that is, over a very long period of time, it is difficult for a stock to achieve a better return than what the business behind it earns . If a business earns 6% on capital over 40 years , if you hold it for 40 years , you will not get anything different than a 6% return . Even if you buy it at a huge discount .
Conversely, if a business earns 18% on capital over 20 or 30 years , you will ultimately get a good return, even if you pay a higher price . To illustrate this , let's say we have two different companies , let's plot the earnings per share of this company on the top axis and time on the bottom axis .
And let's say these two companies started with earnings of $1 per share . And we're going to look at all of these businesses over a period of several decades . Therefore, we take 10 years, 20 years, 30 years, and 40 years of time . So let's start with the first business , which we assume is achieving 6% compound growth .
For simplicity, let's assume that all of these companies are reinvesting 100% of their income back into the business . So, for every $1 they reinvest , they will earn a 6% return the following year . For example, starting with $1 in revenue , the company will earn one dollar and six cents the following year .
The following year, they earn one dollar and twelve cents . So, after 10 years , this company will earn one dollar and seventy- nine cents . So, let's put it here, $1.79. After 20 years, that company will earn 3 dollars and twenty cents . After 30 years, they earn $5.74, and after 40 years, $10.29 .
Now, let's consider a company that grows at a compound interest rate of 18%. So, this company also starts at $1 per share. After 10 years, they earn $5.22 . After 20 years, they earn $27.40 . Apparently, my chart is n't that big. After 30 years, they will cross the chart range and reach $ 143 . And after 40 years , they earn a whopping $750 per share.
So, even if we assume that this company will trade at a much lower multiple , say 10 times earnings, after 40 years , the stock price will be at $7,500. You might have paid $165 per share the first year . If you paid 165, you would have earned a 10% annual return on the stock for 40 years, eventually reaching 7,500.
And dividing 165 by the current $1 , you get the idea that you could pay a multiple of 165 for this stock. Even if it fell to a multiple of 10 in the future, you would still be earning a 10% annual return . So, this is what Charlie Munger is saying that you might pay a price that seems expensive today.
We can all agree that 165 is a very expensive price- to-earnings ratio . However, it would have been completely justified . Why? Because that company was able to reinvest at such a high rate of return for such a long time , you would have earned a 10% annual return on your investment. So, I decided to test this concept .
What happens if we backtest and compare two different strategies ? In the first strategy, we buy all stocks with a return on capital of at least 18% . In another strategy, we buy all stocks with a return on investment of less than 6% . I went back to January 1, 2003, and bought all 91 stocks in the S&P 500 that had a return on capital of 6% or less.
I'll show you a list of those companies right now. Throughout this test, I reinvested 100% of the dividends paid back into the same stock . For example, if AT&T paid a dividend of $1 per share, we would reinvest it and buy more AT&T stock . I have never sold anything. We only sold something when cash came into the account through a spin-off or a cash acquisition .
And whenever cash comes into the account, we reinvest it in the next highest return on capital stock with a return on capital of no more than 6% . This is done assuming there are no taxes, fees, or other trading costs. I included an estimate of the initial bid-ask spread in my study. Here is a list of the top 20 stocks .
I have sorted them based on market cap as of January 1, 2023 . So, if we had bought that portfolio and then reinvested all the dividends and any cash in the name with the next highest score , that would have been the total return performance . So, on the red line, we have the model portfolio, which is a hypothetical portfolio of these 90 stocks .
And on the blue line, there's the benchmark, which I made the S&P 500 index . All stocks were launched with equal weighting . So, I divided 1 by 91 , which is the weighting of each stock at the beginning. And as of December 20, 2023, this portfolio has still delivered a total return of 660% . That means an annual return of 10.2%.
And we also have the maximum drawdown, which tells us how much this strategy fell from the highest to the lowest, during the worst period, which is 63.2%. This is comparable to 55% in the S&P 500 . And if we look at recent years, which is only showing the last 10 years , we can see how this strategy has worked each year.
We can also look at some metrics like dividend yield, beta, so it has a slightly higher beta than the S&P 500 , the Sharpe ratio is worse, the Sortino ratio is also worse . And you can see that other risk metrics like standard deviation, downside deviation, and maximum drawdown are all worse than the S&P 500 index.
These are all stocks that have been held for a long time, so we bought them from the beginning and held them until the end. You'll see a common feature in what I call the 'coffee can portfolio' , which is that some companies have delivered very poor results . So even over that 20- year period , Bank of America is worth less now than it was then .
The H bond is the same, the key is the same. They all yielded total returns ranging from -5 in the case of Bank of America to -44 in the case of Key. In both cases the initial portfolio value was assumed to be $100,000, and what you notice is that all of these losing companies started out at around $1,000 or a little more , but at the end, they were worth less than what you paid .
However, you will notice some stocks that have achieved huge wins. For example, CMI ( Cummins) delivered a total return of 3,293% . So, your $1,000 investment would grow to approximately $37,167. So, despite all these losing positions , there are also stocks that have brought you some huge profits. After 20 years, you'll see a strange shift in your portfolio structure , where each stock started out with about 1%, and now has changed a lot.
So, these will be the top 10 holdings as of December 20 . You can see that the best performing stock, Cummins, now has a 5% weighting. So, the winners continued to win and they became a more important part of the portfolio. On the other hand, the losers continued to lose money and their importance in the portfolio decreased.
Okay, now let's see what would have happened if, instead of buying 6% or less of the compounders , you had bought Charlie Munger's 18% of the compounders . Again, I followed the same methodology and examined the S&P 500 , only buying companies that had a return on capital of 18% or more as of January 1, 2003 .
There were 80 stocks back then and I followed the same portfolio management standards . At the time, these were the top 20 holdings in terms of market cap. So, if we had bought all of these, that is, those 80 stocks , our result would have been like this . The model portfolio is in red here. The benchmark or S&P 500 is in blue here.
And now, instead of underperforming the S&P 500 , we have outperformed it by almost 200%, with an excess return . This portfolio delivered an annualized return of 11.6%. So, this doesn't exactly match Charlie Munger's estimate of it being around 18%. However, it is clearly heading in that direction .
Another important point is that not all of these companies that started with high returns on investment continued to do so until the end. So, a big challenge is not only to identify which companies have a high return on investment , but also to find companies that can continue to invest at the same rate for many years to come .
But, importantly, we can see that the maximum drawdown is now significantly lower compared to the low-return portfolio. We are at 46%, compared to 63% for low-yield stocks and 55% for the S&P 500. If you look at recent periods, you can see that this portfolio has consistently outperformed over time .
Also, we are also seeing favorable Sharpe ratios. This portfolio outperformed the S&P 500 with a lower beta. That is, higher returns with lower risk. There are a few other stocks held in this portfolio over the entire period . We are also seeing exactly the same phenomenon. This time, instead of three losing positions , there was only one , the same Walgreens at -13% .
We observe the same thing in the case of initial investment . In this case, approximately $ 1,250 is invested in each of the 80 companies . But, Adobe's position would have increased to 59,254 . This is the best performing position. The exact same thing happened to Waiting. You can see that Adobe actually has the second highest weighting in the portfolio, at 6%.
The highest waiting time is for AutoZone . It was kept for only 6,942 days. So, it replaced something that was purchased or separated. It actually grew to be the largest location. However, all of the top 10 holdings eventually rose from $1,250 to more than $20,000 . So, which companies make it to this list today ?
Here are the top 10 companies in the S&P 500 that have averaged at least 18% or more return on investment over the past 5 years . I've ranked these from highest market cap to lowest , so you'll see a lot of familiar names on this list . Thank you to everyone who is currently supporting me on Patreon and YouTube.
All supporters will receive a complete list of companies with an investment return of more than 18%. I also just posted my coffee can 30 purchases for the month of December . The idea is to see if it is possible to achieve better results than the S&P 500 without doing anything. This is an interesting experiment.
I'm following along with you and will keep you updated on how that portfolio is performing . So, if you want to watch it, you can watch it through the link in the description below. Thank you for watching the video, see you again in the next video.
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