venerdì 15 aprile 2011

Un indice per gli investitori value?

Joel Greenblatt è l'autore della Formula Magica (!) e uno dei value investors più noti. Il sucesso di pubblico della Fomula magica è stato tale che da circa sei mesi è possibile investire in un fondo che replica la composizione del portafoglio della Formula Magica, utilizzando però 400-100 titoli anzichè realizzando un portafoglio concentrato in 20-30 società come proposto originariamente. L'idea è di costruire un fondo indicizzato rispetto a un benchmark che anzichè calcolare i pesi dei singoli titoli in modo proporzionale alla capitalizzazione di borsa come succede per gli indici tradizionali costruisce i pesi tenendo conto della valutazione del titolo. Si tratta dunque di un value-weighted index fund. Secondo Greenblatt
We just took the logic that, if we can buy a stock at a bargain price that we want to own more of that one. So, instead of weighting by market cap or equally weighting or by economic size, we weight by how cheap we can buy a company. So, the bigger bargain that we find, the more we own of it. So, we actually took the largest 1,400 companies listed in the United States, and we put together an index of 800 to 1,000 of those companies. And we didn’t equally weight them, we weighted them according to value. So, we have heavier weights in those stocks that we believe are the cheapest, and we have very simple metrics that we use to decide which are the cheapest stocks and we buy more of those and every day we go out and rebalance the portfolio, so that it’s constantly and continually rebalanced towards the cheapest stocks that we can find based on those simple metrics. And over time, over the last 20 years when we tested them doing this kind of thing beat a market cap-weighted index by about 6% a year and it had the same volatility and the same beta as market cap-weighted index, but you’ve got six extra points which was very exciting to us and it makes total sense to us. Why wouldn’t you want to concentrate in the cheapest stocks that you can find?
Leggio: You are basically using the same formula that you outlined, The Little Book That Beats the Market which is earnings yield and returns on invested capital, but instead of investing in just 30 to 50 stocks, you are investing in 800 to a 1,000 stocks?
Greenblatt: Right, we used very similar metrics and the principles are really based on Benjamin Graham and Warren Buffett. Benjamin Graham said, let’s buy stocks that are cheap, figure out what it’s worth and pay a lot less, very straight forward. Warren Buffet added one twist that probably led him to be one of the richest people in the world. He said, well it’s nice to buy cheap, but if I can also buy a good company cheap that’s even better.
So, we have a metric in here that we look at is how good is the business and the way we measure that is based on its return on tangible capital. In other words, how well does that business turn its investments in working capital and fixed assets into earnings? The better it does the better business we think it is. So, we basically weight how cheap the company is and how good it is, and we combine that into our value-weighted index.

Greenblatt di fatto propone un portafoglio che replica un'indice value weigthed

Market cap-weighted indexes subtract 2% from the returns you’re supposed to have. Equally weighted and fundamentally weighted indexes give you back that 2% that the inefficiencies of the market cap-weighted index took away from you. So they don’t really, in my mind, add value, they just make the errors random, and they give you back the 2% inefficiencies of market-cap weighting. So, what we’re trying to do here is add value. We are trying, by weighting toward the cheapest stocks that we can find continually, we are trying to actually make extra money.

So some of our extra money comes for free, our extra money over the traditional indexes, because they are 2% inefficient. So the first 2% of what we make additionally is just making back the errors that are being done in a traditional S&P 500 or Russell 1000 Index. And the rest of the money we are adding 4% or 5%, in addition to what a fundamentally weighted index would make or a equally weighted index would make, is really the result of taking advantage systematically of the mistakes that people make by over discounting certain stocks that are out of favor. 

Qui potete seguire l'andamento del fondo Formula Investing US Value 1000 A FVVAX: secondo il prospetto informativo The Fund will normally invest at least 80% of its net assets in the securities of U.S. companies. The Adviser’s security selection process begins by analyzing a proprietary database of a universe of the largest 1,400 U.S. listed securities measured by market capitalization and ranking the securities using a proprietary quantitative methodology. From this universe, the Adviser uses a proprietary strategy to construct a portfolio of approximately 800-1000 of the highest ranked common stocks that is weighted based on the Adviser’s assessment of a security’s fundamental value, based on factors such as earnings yield and return on capital. 
C'è anche un fondo analogo che investe in azioni non U.S.A.: FNVAX Formula Investing Intl Value 400: 
in questo caso l'universo di investimento comprende securities of non-U.S.-based companies with market capitalization of approximately at least $1 billion and ranking the securities using a proprietary quantitative methodology. The Fund primarily purchases common stocks and depository receipts. From this universe, the Adviser uses a proprietary strategy to construct a portfolio of approximately 300-500 of the highest ranked securities weighted based on the Adviser’s assessment of a security’s fundamental value, based on factors such as earnings yield and return on capital.

I fondamentali del fondo, a confronto con quelli dell'indice S&P500 e con quelli della media dei fondi classificati da Morningstar come Large Value mettono in evidenza un notevole accento sul cash flow, come era lecito aspettarsi!

Value & Growth Measures

Stock PortfolioBenchmarkCategory Avg
As of 12/31/2010
*Forward-looking based on historical data
Style and Market Cap Breakdown and Value and Growth Measures are calculated only using the long position holdings of the portfolio.

Price/Prospective Earnings*13.1914.0712.80



Price/Cash Flow*5.927.267.28

Dividend Yield %

Long-Term Earnings %11.099.868.69

Historical Earnings %4.806.87-2.94

Sales Growth %1.961.40-13.38

Cash-Flow Growth %11.073.04-2.76

Book-Value Growth %4.993.77-24.5

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