Greenblatt: Momentum investing has worked globally for 30 to 40 years
Joel Greenblatt · Joel Greenblatt – Common Sense for Value at Gotham Capital (Capital Allocators, EP.165) · Nov 23, 2020 · at 33:17
Joel Greenblatt discusses the empirical historical performance of quantitative investment factors across global markets.
0:00 / 0:08exact quote · 8.8s
720p mp4 · rendered on demand · StarZero watermark
“Over the last 3040 years, whether in this country and across the globe with one or two exceptions, momentum has worked. Over the long term.”
quote is from the automated transcript, cleaned for reading: filler sounds and stutters are removed, nothing is rephrased. names can be misheard (the analysis reads context, assessments check outside sources). how →
More from Joel Greenblatt
Gotham Capital traditionally concentrated 80% of its portfolio in six ideas
“Well, the big picture, our portfolio six to eight ideas were traditionally 80 plus percent of our portfolio.”
Position sizing must be determined strictly by downside risk, not upside potential
“And I think the key to sizing them, if you want to know my portfolio management philosophy, is look down, not up. Meaning, the largest positions were not the ones I thought were Absolutely the best or that I was going to make the most money in sizing all had t…”
Concentrated investing is a great investing model but a terrible business model
“I don't think that's a business model. I think that's a great investing model. I don't think that's really a viable business model, except for the longest term investors.”
Leveraged long-short portfolios require broad diversification to prevent catastrophic negative compounding
“And we ran through the math of it and it turned out you made more money when you go long, short and put on leverage with more diversified portfolios than concentrated portfolios because those bad periods end up in negative compounding and negative compounding …”
Gotham hires elite quant engineers for risk balancing but bars stock selection
“We have a tech guys who are very sophisticated, you know, one guy, one Google code jam, another one's MIT chess jam. And we need those guys to balance our portfolios, but they're not picking stocks. I picked those guys because they have no idea how to pick sto…”
Greenblatt: Active management business will suffer, but stock picking opportunities will grow
“I think the world will continue to get harder for active managers as far as a business is concerned. But if you're a stock picker, if you're an active manager and you're an individual stock picker, the world's getting better for you because less people are doi…”