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Автор: Ritholtz Barry
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isbn: 9781119371908
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Do you pencil it in first?

      A: No, you just start drawing.

      Q: But don’t you make mistakes?

      A: There is no such thing as a mistake. A mistake is an opportunity to do something else. You have to leave it and let nature take it course.

Ralph Steadman, British artist best known for his work with American author Hunter S. Thompson, talking to Anthony Bourdain.

      The efficient market theory is about two questions: Can the market be beat and is the market price the right price? First, evidence says the market can be beat. Second, debating the right or wrong price is futile. There is only the market price and it’s the most real, objective piece of data in finance. Don’t make the market a morality tale.

Michael Covel

      When it is a question of money, everyone is of the same religion.

Voltaire

      Proponents of the theory [EMT] have never seemed interested in discordant evidence. Apparently, a reluctance to recant, and thereby to demystify the priesthood, is not limited to theologians.

Warren Buffett The Warren Buffett Portfolio 1999

      Education rears disciples, imitators, and routinists, not pioneers of new ideas and creative geniuses. The schools are not nurseries of progress and improvement, but conservatories of tradition and unvarying modes of thought.

Ludwig von Mises

      You’ve got to guess at worst cases: No model will tell you that. My rule of thumb is double the worst that you have ever seen.

Cliff Asness

      Fish see the bait, but not the hook; men see the profit, but not the peril.

Chinese proverb

      If you can’t explain it simply, you don’t understand it well enough.

Anonymous

      To be aware how fruitful the playful mood can be is to be immune to the propaganda of the alienated, which extols resentment as a fuel of achievement.

Eric Hoffer

      The credit bubble pushed the price of most financial assets far from fundamental value. The central bankers were rigging the market with their asymmetric approach to market volatility, where Alan Greenspan put a floor under the stock market but did not cap it with a ceiling. That ensured that the cost of waiting until after the event to clean up was unacceptably high. 16

       Question: Some researchers argue that a market timing strategy based on buy/sell signals generated by a 50- or 200-day moving average offers a more appealing combination of risk and return than a buy and hold approach. What is your view?

       Eugene Fama: An ancient tale with no empirical support. 17

      I have noticed that everyone who ever told me that the markets are efficient is poor.

Larry Hite

      The essence of trend following has been effective beyond my wildest dreams, and for me it has been more risky to diversify away from it than to embrace it wholeheartedly.

David Harding

      Most big startup breakouts are where people aren’t paying attention.

Bill Gurley 18

      If you’re chasing the masses, you’re almost certainly heading the wrong direction. The masses are ignoring you. It’s the weird who are choosing to pay attention, to seek out what they care about.

Seth Godin

      It is necessary for you to learn from others’ mistakes. You will not live long enough to make them all yourself.

Hyman G. Rickover

      The river meanders because it can’t think.

Richard Kenney

      “Trend” synonyms: tendency, movement, drift, swing, shift, course, current, direction, progression, inclination, leaning, bias, bent.

      To receive my free interactive trend following presentation send a picture of your receipt to [email protected].

      Section I

      Trend Following Principles

      1

      Trend Following

      An object at rest stays at rest and an object in motion stays in motion with the same speed and in the same direction unless acted upon by an unbalanced force.

– Newton’s First Law of Motion

      Speculation is dealing with the uncertain conditions of the unknown future. Every human action is a speculation in that it is embedded in the flux of time.

– Ludwig von Mises19

      Speculation

      It might sound pedantic or perhaps that I am focusing on the extraneous, I am not: A speculator’s ability to receive a price they can count on as fact– is the foundation of markets. Said another way, with no price, humanity is back to cavemen beating each other with clubs. Austrian economist Ludwig von Mises puts price discovery’s value in perspective:

      It is the very essence of prices that they are the offshoot of the actions of individuals and groups of individuals acting on their own behalf. The catallactic concept of exchange ratios and prices precludes anything that is the effect of actions of a central authority, of people resorting to violence and threats in the name of society or the state or of an armed pressure group. In declaring that it is not the business of the government to determine prices, we do not step beyond the borders of logical thinking. A government can no more determine prices than a goose can lay hen’s eggs.20

      Although government can’t determine prices in the long run, in the short-term, government will attempt to directly rig the market system via QE, ZIRP, NIRP, or whatever acronym sure to follow.

      However, speculation is all there is for making choices about those market prices. Learning how best to speculate using prices is not only a worthy endeavor – it is a survival-of-the-fittest concept that traces back to the earliest literature of Wall Street.

      From Young America on Wall Street (1857), quoting a French poem about a latter-day millionaire:

      Monday, I started my land operations;

      Tuesday, owed millions, by all calculations;

      Wednesday, my brown-stone palace began;

      Thursday, I drove out a spanking new span;

      Friday, I gave a magnificent ball;

      Saturday, smashed – with just nothing at all.21

      There is nothing wrong with that turn of events. It’s normal. It’s the expected up and down. Luck is always in play, but so is skill. From The Theory of Stock Exchange Theory (1874):

      A man who wins by haphazard speculation, who chances to operate successfully until he has filled his pockets, and retires with his gains from so fascinating an arena, is one in a hundred. Any one who knows anything of Stock Exchange speculation will confirm the statement that, to the ordinary run of men, the game is not worth the candle. There are, however, conditions under which speculation, in a market where ten or fifty thousand pounds can be lost in half an hour, may, under given conditions, be systematically practiced profitably. First, and most important perhaps of all those conditions, is the temperament of the speculator. When it is known in a market that a great


<p>16</p>

John Plender, “A New Paradox Found in Markets Theory,” Financial Times, December 9, 2012, www.ft.com/content/8e2ae5b2-3e14-11e2-91cb-00144feabdc0.

<p>17</p>

Eugene F. Fama and Kenneth R. French, “Q&A: Market Timing with Moving Averages,” Fama/French Forum, https://famafrench.dimensional.com/questions-answers/qa-market-timing-with-moving-averages.aspx.

<p>18</p>

Eric Johnson, “Benchmark’s Bill Gurley Says He’s Still Worried about a Bubble,” Recode, September 12, 2016, www.recode.net/2016/9/12/12882780/bill-gurley-benchmark-bubble-venture-capital-startups-uber.

<p>19</p>

Ludwig von Mises, Human Action: A Treatise on Economics (4th rev. ed.) (Irvington-on-Hudson, NY: The Foundation for Economic Education, 1996).

<p>20</p>

von Mises, Human Action.

<p>21</p>

George Francis Train, Young America on Wall Street (London: Sampson Low, 1857), 209.