Ray Dalioの投資哲学と手法
On Philosophy and how to buikd the machine to get what you want
Ray Dalioによる組織論の話。
目標を達成するため"machine"を考えて、人員や組織の体制を整える。その結果machineが生み出すoutcomesをgoalと比較して、望みの通りの結果が得られているか検証する。
必要に応じてmschineを修正していく。
I call it “higher level thinking” because your perspective is that of one who is looking down on your machine and yourself objectively, using the feedback loop as I previously described. In other words, your most important role is to step back and design, operate and improve your “machine” to get what you want.
My 5-Step provess to Getting what you want out of life. (The Process)
Have clear goals.
Identify and don't tolerate the problems that stand in the way of achieving your goals.
Accurately diagnose these problems
Design plans that explicity lay out tasks that will get you around your problems and on to your goals
Implement these plans - i.e. do these tasks.
Ray DalioによるEgoの制御の仕方。投資とは関係なく、一種の心理学を学ぶような印象。
参考になるので、少々長いが記載する.
Be wary of the arrogant intellectual who comments from the stands without having played on the field.
Don't worry about looking good - worry about achieving your goals.
There is giant untapped potential in disagreement, especially if the disagreement is between two or more thoughtful people.
Life is like a game where you seek to overcome the obstacles that stand in the way of achieving your goals. You get better at this game through practice. The game consists of a series of choices that have consequences. You can't stop the probelems and choices from coming at you, so it's better to learn how to deal with them,
(フランス文学の教授も同じこと言ってたなぁ)
There is almost no reason not to succeed if you take the attiude of One: total flecibility - good answers can come from anyone or anywhere. Two: Total accountability. Regardless of where the good answers come from, it's your job to find them.
Since the only way you are going to find solutions to painful problems by thinking deeply about them.
Success is achieved by people who deeply understand reality and know how to use it to get what they want. The converse is also true: idealists who are not well-grounded in reality create problems, not progress.
Don't be a perfectionists, because perfectionists often spend too much tme on little differences at the margins at the expense of other big, important things. Be an effective imperfectionist. Solutions that broadly work well are generally better than highly specialized solutions
投資における公理
Alpha is zero sum.
多くの投資家が"reaction decision-makers"である。価値が上がってから投資しても、それは割高な商品を買っているに過ぎない.
It all comes down to interest rates.
The big question is: When will the term structure of interest rate change?
We think of commodities from a few different perspective: as an alternative currency and store hold of wealth, as a growth-sensitive asset class, and as an asset with specific supply and demand considerations.
The biggest mistale investors make is to believe that what happened in the recent past is likely to persist.
過去にハイリターンだったassetはその分割高になったと考えるべき。
You cannot make money agreeing with the consensus view, which is already embedded in the price. Yet whenever you're betting against the consensus, there's a significant probability you're going to be wrong, so you have to be humble.
Economic Principles (経済原理)
■ Three Big Forces
1) Productivity (生産性)
2) The short-term debt cycle
3) The long-term debt cycle
■ Three important equilibrium
1) Debt growth is in line with the income growth that is required to service debts.
2) Economic capacity utilization is neither too high nor too low.
3) Projected returns of equities are above the projected retuns of bonds which are above the projected returns of cash by appropriate risk premiums.
■ Two levers
1) Monetary Policy 金融政策
2) Fiscal Policy 財政政策
Real per capita GDPはこの100年に渡り、平均して2%上昇してきた。一過的に減少することはあるが、長期で見れば2%上昇のトレンドに回復することが期待される。
ただし、1930年代の恐慌時は、経済活動は20%減少し、株価は80%減少している。
（ここからが大事）
The Great Depression didnot occur because people forgot how to efficiently produce, and it wasnot set off by war or drought.
They are due to human nature and the way the credit system works, most importatnly 1) a long term (50-70 years) debt cycle and 2) a shorter-term (5-8 years) debt cycle.
Early in the game of Monopoly®, people have a lot of cash and few hotels, and it pays to convert cash into hotels. Those who have more hotels make more money. Seeing this, people tend to convert as much cash as possible into property in order to profit from making other players give them cash. So as the game progresses, more hotels are acquired, which creates more need for cash (to pay the bills of landing on someone else’s property with lots of hotels on it) at the same time as many folks have run down their cash to buy hotels. When they are caught needing cash, they are forced to sell their hotels at discounted prices. So early in the game, “property is king” and later in the game, “cash is king.” Those who are best at playing the game understand how to hold the right mix of property and cash, as this right mix changes.
A market price is the discounted present value of future cash flows. Economic growth and inflation are the two most significant drivers of those cash flows, and discount rates and risk premiums determine how these cash flows are reflected in current prices.
Given this, prices largely reflect discounted future economic scenarios, discounted inflation, risk premiums and discount rates.
Bonds will perform best during times of disinflationary recession, stocks will perform best during periods of growth, and cash will be the most attractive when money is tight. (All asset do well in certain environments and poorly in others)
The only way to achieve reliable diversification is to balance a portfolio based on the relationships of assets to their environmental drivers.
To do this, we recognize that while asset classes offer a risk premium, their sensitivities to shifts in the economic environment are not the same (上図を参照).
Therefore you can structure a portfolio of risk-adjusted asset classes so that their environmental sensitivities reliably offset one another, leaving the risk premium as the dominant driver of returns.i.e. Underperformance of a given asset class relative to its risk premium in a particular environment will automatically be offset by the outperformance of another asset class with an opposing sensitivity to that environment, leaving the risk premium as the dominant source of returns, and producing a more stable overall portfolio return.
Portofolio構築のヒント Holy Grail of Investing
What do I want?
I need to have a certain structure.That can come in the form of alphas and betas.
What is my risk neutral position?
What represents a good neutral position, balance?
What is a structural beta portfolio?
How do I take a deviation from that beta portfolio?
How do I do that in an uncorrelated way, so that I can then maximize my return to risk?
So in that first principle, what I’m saying is that if you follow that first principle and you get 15 good — don’t have to be great — uncorrelated return streams, you’ll improve your return to your risk by a factor of 5. That means 5 times the return for the same amount of risk (上のグラフを参照).
肝要な点なので、別の言葉でいいかえると、
Diversifying with over 15 uncorrelated return streams and balancing out your return oer unit of risk, through sizing and leverage (リスク・パリティ戦略 or buy low & sell high), can get you to a balanced market-neutral position.
資産ごとの相関関係を資産価格が何により支配されているかから求めることが大事.
The correlation has to do with the fundamental drivers of each asset class (ie, what are the economics that drive investors to buy and sell each asset class).
