Tuesday, 22 December 2009

Zen Investing: Bill Mann's 10 easy steps..

I wanted to drop something in about Zen Investing.. this blog is from Bill Mann from early 2007 and is about the easiest read I could find and; although I don't endorse fully, I like his notion of a balanced view on all decisions, value of debating opposing views, awareness of change and need for discipline.

In the 90s I used to study Aikido which is a defensive martial art that means the 'art of harmony' and so much of Zen Investing appeals to me.. I was pretty rubbish at it but there are many things in Aikido teaching that I can relate to investing such as Ki No Nage which is the 'flow of energy' and (for you phycisists) feels not unlike fluid dynamics pioneered by Bernoulli...something I will pick back up on; (minus the science) when I later come to look at how to be a contrarian investor based on investor (sales) flow patterns..

Frankly I have used this peice on 'Zen' as I couldn't have written it any better myself.. I also like it as it was written at the end of the momentum market and cited form the start of the recovery market in 2004 (pre-Crunch) yet talks of discipline and therefore avoids the blatant hindsight so common among current journals. 'Zen' applies to mutual funds, ETFs, stocks.. property.. just about anything you can think of to invest in:

http://bigpicture.typepad.com/comments/2004/04/the_zen_of_trad.html



'The Zen of Trading'

The ten steps I outline below are not from a book, nor were they learned at the knee of a mentor. They are the result of actual experience -- blood, sweat and tears -- and of course, real dollars lost.


If what "Happy feet" truly wants are specific trading rules, there are plenty on the net which will tell you how to "scan and track and buy stocks." The following search will yield 100s of specifics rules.


But that is not what the floundering rookie trader needs. No one can give you the "Ten Steps to Wealth and Happiness." Its the old cliché: "Give a man a fish, and you feed him for a day; Teach a man to fish, and you feed him for a lifetime."


Any equity trading skill you may learn will be worthless without a frame of reference in which to practice them. These rules will provide you with that frame of reference. They were as true 100 years ago as they will be true 100 years from now. All but one of them applies to any tradable asset: futures, commodities, options, bonds, currencies or equities.


No one is going to give you wealth and happiness; Perhaps I can help teach you to fish. Here is a frame work within which you can develop your own 10 "Ten Steps to Wealth and Happiness."


1. Have a Plan: If you are going to actively trade, you must have a comprehensive plan. All too many investors I deal with have no strategy at all -- its strictly seat of the pants reaction to each and every market twitch. The old cliché "If you fail to plan, than you plan to fail" is absolutely true.


I suggest that traders write up a business plan for their strategy, as if they were asking Venture Capitalists for money for a start up; In fact, you are asking an investor for capital -- just because that investor is someone you know a long time (you) doesn't mean you should skip the planning stages.


2. Expect to be Wrong: Accept this fact: You will be wrong, and often. The plea for help is at least a tacit recognition that you are doing something wrong -- and that means you are a giant leap ahead of many failing traders.


Egotists who refuse to recognize the simple truism of being wrong often give up unacceptable amounts of capital. It is only stubborn pride -- and lack of risk management -- that keeps people in stocks down 50% or more.


Even the best stock pickers in the world are wrong about half the time.


Michael Jordan has the best quote on the subject: "I've missed more than 9,000 shots in my career. I've lost almost 300 games. Twenty-six times, I've been trusted to take the game winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."


Mike is the greatest player of all times not merely because of his superb physical skills: He understands the nature of failure -- and its importance -- and places it within a larger framework of the game


3. Predetermine Stops Before Opening Any Position: Once you have come to understand that you will be frequently wrong, it becomes much easier to use stops and sell targets.


I suggest signing a "prenuptial agreement" with every stock you participate in: When it hits a predetermined point, regardless of methodology -- below support or a moving average or a specific percentage amount or the monthly low or whatever your stop loss method is -- that's it, you're out, end of story. No hopin' or wishin' or prayin' or . . . (Apologies to Dusty Springfield)


The prenup means you are making the exit decision before you are in a trade, and when you are neutral and objective.


4. Discipline is Everything: The greatest rules in the world are meaningless if you do not have the personal discipline to see them through. I can recall every single time I broke a trading rule of my own, and it always cost me money.


A friend (GBS) mentions that every time some Hedge Fund blows up -- chock full of Nobel Laureates or Ivy League whiz kids -- you invariably hear the following mea culpa: If only we hadn't overrode the system, we would have been okay.


A lot of people recommend the book Market Wizards -- I read it when I first got into the business, and every few years, I reread it. The single most repeated theme echoed by nearly all of the trading Wizards interviewed? The importance of Discipline.


5. Emotion is the enemy of investors: Therefore, you must have a methodology which relies on a variety of data points, and not your gut instinct. My own assortment of factors are too long to go into here. The purpose of Rules 1, 2 and 3 (especially 2) is to eliminate the impact of the natural Human response to stress -- fear and panic; It also helps avoid the flip side of the coin -- greed (also known as "fear of missing the rally").


Lets face it, you are a herd animal who has evolved to run away from Sabre Tooth Tigers and fight off angry Neanderthals. We were never "hard-wired" for the capital markets. Such is the plight of being slightly cleverer pants wearing primates.


You must know yourself: Your instinctive "fight or flight response" did not evolve to deal with crossing moving averages or restated earnings. Emotions cause people to sell at the bottom and chase stocks up at the top. To buy when there is blood running in the streets, or to sell when everyone else is clamouring to buy takes a detached objectivity not possible when trading on gut emotion.


6. Take responsibility for your self, your capital and your trades. I recently wrote a note in response to some of the "The game is fixed" whining that been endemic lately. (Its titled "Taking Responsibility").


Its part of our national culture of blame passing, and it infected investing long ago: Enron did not cause your losses, nor did stock touting analysts or Arthur Anderson or the talking heads on CNBC; You did. The sooner you understand this the better.


I once read a Chinese proverb which struck me as particularly insightful as applied to trading: "He who blames others has a long way to go on his journey. He who blames himself is halfway there. He who blames no one has arrived."


7. Constantly Improve: You must seek to constantly raise your skill level. Generally, you should try to learn as much as possible about the markets, the economy, trading technologies, various schools of thought. As you read all this, you must do so with a keenly sceptical eye, while retaining an open mind ('taint that easy to do).


As to the specific mechanics of trading, I find keeping a log to be very helpful. I track why I bought something, the price, the timing, even my reservations about the trade at the time. I do a post-mortem, trying to figure out why a certain trade didn't work and why some did. I started ranking trades on a 1 - 10 scale before I entered the position, then I tracked my results. If I only did the "nines" and "tens," my returns would have been spectacular, my costs much lower, and my trading would have flowed more naturally.


A subheading under "Constantly Improve" is this: (7A) Develop an Expertise in Some Aspect of Trading. Find something for which you have a peculiar natural proclivity, or a particular gift, and develop it. It may be moving averages or position sizing or MACD or Bollinger Bands or the Arms index; The specific area of expertise does not matter so much as merely having one. I'll bet that those who have been trading for a while know exactly what I am referring to.


8. Change is Constant: Heraclitus was a Greek philosopher who is best known for his "Doctrine of Flux." It simply states: "The only thing that remains constant is change." Therefore, you must endeavour not only to constantly upgrade your skills, you must be supple enough to adapt to an ever-changing field of play.


Skiers have all seen the sign on the slopes: "Beware of changing terrain conditions." Its true in any market, and in fact, any modern endeavour.


Human nature -- especially in herds - is unchanging. But these behaviours must be contemplated within their larger context. Add a new element -- PCs, lower trading costs, the internet, vast amounts of cheap data, even CNBC, -- and you introduce a new factor which impacts all the players on the field.


As conditions change, you must decipher how they impact your strategy, your emotions, and your trading -- and adjust accordingly.


9. Short is not a four letter word: Learn to play both sides of the fence, both long and short. If you "have been so burned by buying," then perhaps there is a lesson there you are not heeding? The market is telling you something. Whenever a particular strategy stops working, the thoughtful trader must consider whether there are bigger issues than their own trading mechanics.


Every law student goes through moot court, where you had to be ready to switch teams and argue either side of a case. I learned that you never truly knew a case until you could argue both for and against it.


The corollary moot court rule for trading is that you should never own a stock unless you comprehend what might make it an attractive short. Each buy and sell decision should be an argument pro and con.


Likewise, you need to be able to play the downside when it’s appropriate.


The market is cyclical; you can count on a bear market every 4 years or so. Unless you plan on sitting out for 18 - 24 months twice or so each decade -- up to 4 years put of 10 -- you better learn to short.


10. Stock selection matters less than sector and market direction. This will be the only stock specific rule I will share: I have been convinced by several studies that demonstrate only 30% or so of a stock's progress is determined by the stock itself; The stock's sector is at least equal to another 30% (if not more). The overall direction of the market is the biggest factor of all, counting for at least 40%.


You can own the very best company in the wrong sector, or buy the greatest stock when the broader market is going the other way --- both will still be losers.


That’s my ten, and I hope those of you looking for specific trading ideas aren't too disappointed. I have lots of other rules, but since we limited this list to just 10, I went with the broadest and most important.


Some other strategies are natural derivations of these: being patient, using risk management, position sizing, not forcing trades, resource allocation, diversification, etc. These are all specific trading mechanics, and "Happy feet" is not quite ready for them yet.

Bob Freedland of Bob's Advice for Stocks: http://bobsadviceforstocks.tripod.com/
http://www.fool.com/investing/small-cap/2007/03/21/the-zen-of-investing.aspx

By Bill Mann March 21, 2007

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Quote of the day: "Great spirits have always found violent opposition from mediocrities. The latter cannot understand it when a man does not thoughtlessly submit to hereditary prejudices but honestly and courageously uses his intelligence." Albert Einstein (attributed)

Investment U


Delta changes in risk aversion (Nov09)

Sentiment: The 'Lag' Effect

Sentiment: The 'Lag' Effect
Investor perception of risk is rarely up to date

Global Consciousness Project (GCP) 'Dot'

The Global Consciousness Project collects random numbers from around the world. This is a real time data analysis of the GCP. It collects the data each minute and runs statistics on the stream of random numbers generated by the project. This analysis is run 10 minutes behind the generation of the data. In this way, it can be seen as a real-time indicator of global consciousness coherence. http://gcp.djbradanderson.com/ BLUE DOT: Significantly small network variance. Suggestive of deeply shared, internally motivated group focus. The index is above 95% BLUE-GREEN DOT: Small network variance. Probably chance fluctuation. The index is between 90% and 95% GREEN DOT: Normally random network variance. This is average or expected behavior. The index is between 40% and 90% YELLOW DOT: Slightly increased network variance. Probably chance fluctuation. The index is between 10% and 40% AMBER DOT: Strongly increased network variance. May be chance fluctuation, with the index between 5% and 10% RED DOT: Significantly large network variance. Suggests broadly shared coherence of thought and emotion. The index is less than 5% The probability time window is one hour. For a more information on the algorithm you can read about it on the GCP Basic Science page

Choosing Mutual Funds..

Choosing a Mutual Fund – CLUE “it is not about past performance.." You could try - Logic Scoring! The trick is to create your own metrics and populate them into your own grid.. Always remember to test your assumptions v outcomes: your model may be right but you may find what you thought to be a SELL is actually a BUY. Always look at the problem in the mirror! You can also read this in conjunction with my guide on Value at Risk and other Key Risk Indicators below. http://tinyurl.com/ydvf3zh

Bull versus Bear Investing; versus Herding

The lifecycle (or holding period) of an investment held by a particular investor, often categorised as short, medium or long-term.

Let's get normal volatility out of the way first.. VaR-based toolkit.

Ok - a starting point - let's get normal volatility out of the way first.. This pack was written around end Q308 - post 16/8 but before the massive movement of Oct-Nov08. For those who support brownian motion or the geometric movement of returns then, I'm afraid to say, it's going to end bad..

What is the fuss with volatility.....

Re the movement of market returns - many believe they follow a geometric or exponential Brownian motion ('GBM') which is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion, also called a Wiener process. It is used particularly in the field of option pricing because a quantity that follows a GBM may take any positive value, and only the fractional changes of the random variate are significant ('deltas').

http://en.wikipedia.org/wiki/Geometric_Brownian_motion


So in practice 'brownian motion' assumes a strong tendency to trend - it says that returns won't jump from day 1 to day 2 but move up and down in fairly predictable increments.. the returns of the previous days have an impact on the subsequent day - they are not unique. This estimation of how prices move is the underlying principal for the future pricing of derivatives contracts such as options.. i.e. E.g. to buy a contract, at one price, to buy or sell the underlying asset at a future date at a future price... this is usually referred to as the 'Black-Scholes formula' or the much much earlier Bronzin model (1908). This ties up with the old-age 'law of big numbers' (or law of averages) - where returns follow a pattern around a mean and that the volatility around that mean diminishes over time.. Where those returns are then assumed to form a normal distribution (or bell curve) then the 'GBM' is symmetrical to the mean of those returns. BUT what if we do not believe upside and downside returns will be similiar?.
A LOT of analysis has been run since to dispel this view such as many variations of the the Noble winner Robert Engle's ARCH approach in 2003 ('heteroskedasticity'.. or the analysis of different dispersions/volatilities), countless variations thereof, stochastic models (see below*), extreme loss analysis, stress testing, scenario analysis and so on - it keeps the Math boys busy shall we say...

*Stochastic models: treat the underlying security's volatility as a random process, governed by variables such as the price level of the underlying, the tendency of volatility to revert to some long-run mean value, and the variance of the volatility process itself, among others. Somtimes I use Markov chain as the easiest way to visualise and understand a random process: usually it's illustrated by the cat and the mouse:

Suppose you have a timer and a row of five adjacent boxes, with a cat in the first box and a mouse in the fifth one at time zero. The cat and the mouse both jump to a random adjacent box when the timer advances. E.g. if the cat is in the second box and the mouse in the fourth one, the probability is one fourth that the cat will be in the first box and the mouse in the fifth after the timer advances. When the timer advances again, the probability is one that the cat is in box two and the mouse in box four. The cat eats the mouse if both end up in the same box, at which time the game ends. The random variable K gives the number of time steps the mouse stays in the game..

This Markov chain then has 5 states:

State 1: cat in the first box, mouse in the third box: (1, 3)
State 2: cat in the first box, mouse in the fifth box: (1, 5)
State 3: cat in the second box, mouse in the fourth box: (2, 4)
State 4: cat in the third box, mouse in the fifth box: (3, 5)
State 5: the cat ate the mouse and the game ended: F.

To show this for a fairly infinite number of price movements is somewhat less achievable but nonetheless that's what the clever bods have done..

Otherwise most of probability, I admit, is above my head unless it descends into some sort of practical application - BUT I get the sub-plot.. stop trying to predict future patterns from regressing past performance... show me the track record of a model (after it has been created) and I'll be one step closer to being converted.. I'll touch on stress testing, extreme analysis ('extremistan') and scenarios another day..

"The Black–Scholes model disagrees with reality in a number of ways, some significant. It is widely employed as a useful approximation, but proper application requires understanding its limitations -blindly following the model exposes the user to unexpected risk. In short, while in the Black–Scholes model one can perfectly hedge options by simply Delta hedging, in practice there are many other sources of risk." Wikpedia

http://en.wikipedia.org/wiki/Black%E2%80%93Scholes





Active-Passive Investing Debate

Performance Patterns: **This deck is based on some work-based research so apologies for the confusing arguments - as a consequence the 'story' in the slides is a little muddy so I will re-jig this in the New Year to make my points clearer.** Passive-active purchase drivers in the UK are less differentiated/defined than perhaps elsewhere; the basic rules apply: What I did find was that there were interesting herding flows preceding, into and of the credit crunch. These were large asset-class movements: something which active managers would have little control of unless they ran absolute return type startegies. What my analysis showed is that an investor could manage a passive portfolio tactically to take advantage of large herding patterns. This involves risk, access to the right data, practice and above all discipline but I hope it will be a journey we can share!!

Lessons for 2010 - REIT Funds

Noting the events around 2005-2008 make for interesting considerations when thinking about buying REIT Funds in 2010..

The UK Investor - The Surprise Factor

The maps in the presentation (below) really help illustrate the suprise factor of the credit crunch.. little of the previous patterns would prepare the UK investor for what was about to come. The flows show that investors did not recognise the risks inherent in 2006-2008. This is because the industry uses conventional fund metrics, which were at best outputs not guides..!

The UK Investor - IMA 'Map' 2002-2008

Jon Beckett, ASCI - Past Projects (2003-2008)

I have been involved in the IFA and investment market since 1998, covering a broad range of roles. I have engaged a number of industry bodies over the years, to be a voice for change, to reform our industry and make it trusted and respected. None of the projects shown should be related to Franklin Templeton either: explicit, inferred or otherwise. I attach some of my past projects from 2004-2008.. Rgds JB