The Trend is Your Friend? What Trend?
Hidup kita adalah sekumpulan kejadian random yang (kadangkala) membentuk pattern. Beberapa mathematician modern telah menemukan bahwa beberapa pola di alam merupakan sebuah fractal, yakni suatu ketidakteraturan (chaos) yang membentuk sebuah pola yang indah.
Benarkah hidup, atau fenomena lain dalam hidup seperti dinamika ekonomi dan pergerakan pasar, memiliki pola atau trend?
Saya akan memulai tulisan ini dengan sebuah eksperimen statistik yang menarik.
Ada dua buah kantong yang saya isi dengan gundu dengan jumlah yang sama. Sebuah kantong berisi gundu 2/3 berwarna merah dan sisanya 1/3 berwarna putih. Kantong lainnya memiliki proporsi kebalikan, berisi gundu 1/3 berwarna merah dan sisanya 2/3 berwarna putih. Sekarang tugas anda adalah menebak kantong mana yang lebih banyak berisi gundu merah dan kantong mana yang lebih banyak berisi gundu putih. Anda diberi kesempatan untuk mengambil segenggam gundu dari tas X, katakanlah 5 gundu, dan beberapa genggam gundu dari tas Y, katakanlah 30 gundu.
Dari hasil pengamatan ini, 4 dari 5 gundu yang anda ambil dari tas X berwarna merah, dan 20 dari 30 gundu yang anda ambil dari tas Y berwarna merah.
Kesimpulan: tas X memiliki lebih banyak gundu berwarna merah karena 80% (4/5) gundu yang anda ambil berwarna merah, sedangkan tas Y hanya 66% (20/30) berwarna merah.
Itulah kesimpulan kebanyakan peserta eksperimen. Dan anda harus tahu: kebanyakan orang adalah salah!
Tas yang memiliki lebih banyak gundu merah adalah tas Y. Ingatlah prinsip statistik ini lain kali, agar anda tidak tertipu (terutama menjelang pemilihan umum seperti saat ini): semakin besar sampel (30 dibanding 5), maka semakin handal kesimpulan atau hasilnya.
Saya teringat eksperimen itu, dari Daniel Kahneman dan Amos Tversky (keduanya pionir ilmu behavioral finance yang memperoleh nobel ekonomi), ketika tahun 2007 sebuah reksadana saham, sebut saja M, menjadi primadona investor karena mencatat kinerja yang cemerlang. Sementara reksadana saham lain mencatat return hanya 60-80% pada tahun itu, reksadana ini mencatat return 120%. Fantastis? Tidak, seandainya anda tahu kinerjanya kini, yang ada di bawah return market. Reksadana M baru berusia 3 tahun. Aneh bagi saya bahwa sebuah reksadana yang baru berusia 3 tahun langsung menjadi primadona hanya karena kinerja jangka pendek, dibandingkan reksadana lain yang berusia jauh lebih lama dan berhasil mencatatkan return mengalahkan market.
Inilah kenyataan dunia bisnis dan investasi yang akan menyesatkan anda, sebagaimana eksperimen statistik di atas: kebanyakan orang lebih sering mengambil keputusan bisnis dan investasi didasarkan pada sampel kecil, atau sampel jangka pendek, yang secara statistik kurang signifikan.
Contoh: mayoritas investor beramai-ramai mengoleksi saham BUMI didasarkan kinerja jangka pendeknya, dan mengabaikan saham dengan fundamental jangka panjang yang lebih bagus seperti misalnya SMGR.
Contoh lain: mayoritas board of directors berfokus hanya jangka pendek (5 tahunan), daripada berfokus pada fundamental bisnis jangka panjang.
Regression Bias
Salah satu temuan Kahneman dan Tversky adalah apa yang disebut regression bias. Dalam penelitian yang melibatkan performance penerbang angkatan udara U.S, mereka menemukan bahwa pilot yang terbang dengan ’sempurna’ pada suatu hari dan mendapat pujian dari komandan, di hari berikut pilot tersebut akan terbang buruk. Sebaliknya, pilot yang terbang buruk dan mendapat kecaman dari komandan, maka keesokan hari pilot itu akan terbang dengan sempurna.
Setelah mengumpulkan sampel dalam waktu yang amat panjang, Kahneman dan Tversky menolak hipotesis performance tersebut sebagai akibat mekanisme reward-punishment, sebagai gantinya mereka berdua membuktikan bahwa sesungguhnya setiap penerbang memiliki trend performance sendiri. Kadangkala performance seorang pilot di bawah rata-rata, terkadang di atas rata-rata. Kuncinya bukanlah pada mekanisme reward-punishment, melainkan pada seleksi awal, para komandan US Navy harus memilih calon penerbang dengan performance rata-rata tinggi, dan menyisihkan calon penerbang dengan performance rata-rata yang rendah.
Kini mari mengingat masa sekolah kita. Seorang teman baik, Joko Waluyo, memiliki skor rata-rata 9 pada matematika. Ini tidak berarti pada setiap kali tes Joko mendapat skor 9, namun kadangkala Joko mendapatkan 8 dan terkadang 10. Skor rata-rata kelas pada pelajaran matematika adalah 8.
Sebaliknya, Joko memiliki skor rata-rata 7 pada ilmu biologi, yang artinya seringkali ia memperoleh skor 6 dan tak jarang mendapat skor 8. Skor rata-rata kelas pada ilmu biologi adalah 7,5.
Joko sangat menyukai matematika, fisika, kimia, dan sangat membenci hafalan.
Pada suatu hari, sekolah kami melakukan seleksi untuk mengirim dua wakilnya ke olimpiade matematika dan biologi. Pada hari itu diberikan hasil tes hari sebelumnya. Joko memperoleh 8 untuk matematika, dan 9 untuk biologi (Joko tidak tidur semalaman untuk mendapatkan skor biologi itu). Kepala Sekolah yang datang untuk menyeleksi, melihat skor yang dibagikan itu. Kepala sekolah lalu memilih Joko sebagai wakil sekolah kami ke olimpiade biologi, dan memilih Paijo sebagai wakil sekolah kami ke olimpiade matematika. (Paijo mujur mendapat skor 9 karena duduk di samping Joko ketika ulangan matematika).
Kepala Sekolah yang aneh! Tapi tunggu, bukankah itu yang Anda lakukan ketika memilih stock atau reksadana? Anda melihat harga suatu stock sedang naik saat itu dan memutuskan: BUY!
Regression bias adalah ketidakmampuan manusia untuk melihat adanya trend jangka panjang, disebabkan oleh bias pergerakan acak sampel jangka pendek. Padahal makin banyak jumlah sampel, atau makin lama bila itu time-series, makin terlihat pattern sebenarnya.
Gambar 1. Regresi Linier
Karena itu penting bagi seorang investor untuk meneliti performance jangka panjang sebuah perusahaan dan tidak tertipu oleh pergerakan jangka pendek harga saham. Analisis pergerakan volume dan harga tidaklah berguna bila anda adalah investor jangka panjang, sebab pergerakan volume dan harga dalam jangka pendek adalah random. Baca misalnya A Random Walk down Wall Street (Burton Malkiel) atau Fooled by Randomness (Nassim Nicholas Taleb).
Menurut mathematician Benoit Mandelbrot (Fractals and Scaling In Finance, 1997), pergerakan volume dan harga saham memang memiliki siklus tertentu (bullish/bearish), tapi durasi siklus itu tidak dapat dipastikan, sehingga kita tidak dapat meramalkan kapan siklus itu dimulai dan berakhir.
Efficient Market Hypothesis (EMH)
Jika anda menyukai investasi di stock market namun malas mempelajari fundamental analysis maupun technical analysis, maka ada baiknya anda mempercayai thesis doctoral Eugene Fama, bahwa dalam jangka panjang seorang investor tidak akan mampu mengalahkan return market. Oleh karena itu cara terbaik investasi di stock market adalah dengan membeli index fund, reksadana yang memiliki portofolio sama persis dengan portofolio pasar (index fund return = market return). Sederhana diilustrasikan dalam gambar regresi linear di atas, mereka yang memilih index fund akan memperoleh return jangka panjang sama dengan garis regresi, sama persis dengan return market. Kelemahan EMH, ia mengabaikan fakta bahwa di titik-titik sekitar garis regresi ada return di atas market, dan return yang kurang daripada market.
Kesalahan fatal EMH, kerangka analisis didasarkan pada distribusi normal Gauss yang terkenal: the bell curve. Pengkritik EMH menyarankan agar digunakan distribusi Cauchy-Lorentz untuk analisis statistik data yang bersifat acak, terutama yang terkait erat dengan market. Distribusi Cauchy-Lorentz tidak memiliki mean, variance, dan standar deviasi. Amat sedikit pakar finance yang menggunakan Distribusi Cauchy sebagai kerangka analisis, dimulai oleh Benoit Mandelbrot, profesor matematika Yale University; diikuti oleh Nassim Nicholas Thaleb seorang trader derivatif dan profesor matematika New York University.
Menjadi Outlier
Karena menggunakan distribusi normal, maka EMH mengabaikan adanya outliers di sekitar garis regresi. Outliers ini adalah investor yang secara konsisten mengalahkan return market dan dianggap EMH sebagai data anomali. Anda yang sering melakukan analisis statistik dengan regresi mengerti betapa menyebalkan mendapatkan data yang menyimpang jauh dari trend. Dalam regresi (tidak selalu linear) selalu terdapat data yang bersifat anomali. Data ini disebut outliers. Para peneliti yang menggunakan analisis regresi sebagai tools biasanya lebih suka untuk menghapuskan data nakal ini sehingga diperoleh data yang ’smooth’ dan dihasilkan trend yang ’sempurna’.
Jika anda benci jadi medioker dan anda suka kinerja tinggi jauh di atas rata-rata, maka anda sebaiknya mengabaikan EMH, dan mulai mempelajari cara bagaimana menjadi seorang outlier dalam investasi.
Berikut ini beberapa contoh outliers di bidangnya:
1. Warren Buffet, investor terkaya di dunia.
2. Bill Miller, fund manager Legg-Mason Value Trust yang selama 15 tahun berturut-turut mengalahkan return S&P 500.
3. Peter Lynch, mutual-fund manager terbaik sepanjang masa.
4. Bill Gates dengan Microsoft, mendominasi pasar operating system.
5. Roger Federer dan Pete Sampras, peringkat 1 tenis paling lama dalam sejarah tenis (237 pekan) dan paling banyak memenangkan Grand Slam (14 kali).
6. Joanne Rowling, penulis bestseller sepanjang masa dan penulis pertama yang termasuk daftar orang terkaya Forbes.
7. Juninho, Alessandro del Piero, dan si celeb David Beckham, yang membuat gol melalui tendangan bebas dengan probabilitas lebih tinggi daripada pemain sepakbola lain di masa kini.
8. Howard Schultz, pemilik warung kopi terbesar di dunia.
9. Johny Andrean dan Rudi Hadisuwarno, tukang cukur paling terkenal di republik ini.
10. Martha Tilaar dan Mooryati Soedibyo, tukang jamu paling inovatif di negeri ini.
What Trend My Friend?
Ilustrasi saya di atas tentang regresi adalah penyederhanaan. Sungguh sebuah penyederhanaan. Regresi (linier atau non-linier atau multivariat) yang membentuk suatu trend seringkali berlaku pada besaran-besaran fisika dalam mekanika sederhana. Regresi sering tidak akurat dalam ilmu-ilmu sosial dan ekonomi. Ini karena begitu banyak variabel yang saling terkait dan saling mempengaruhi dalam ilmu sosial dan ekonomi sehingga sulit dirumuskan dalam persamaan yang sederhana. Para ekonom telah cukup lama menggunakan model ekonometrika, namun ini tidak membantu mereka dalam memprediksi trend ekonomi. Ekonom Bank Dunia, IMF, Bank Indonesia sangat jarang mendapatkan prediksi yang sama dan tepat dalam mengukur, misalnya laju inflasi. Para ekonom hanya tepat dalam membuat prediksi retrospektif, yakni dalam membuat penjelasan atas fenomena yang telah terjadi, tapi bukan fenomena yang akan terjadi.
Terutama dalam memprediksi pergerakan pasar, tak seorang pun mampu memprediksi trend ke depan. Saya beri anda dua contoh bahwa seorang ekonom pakar dan profesor finance sekalipun akan meleset dalam memprediksi masa depan ekonomi / pergerakan pasar. Ekonom pakar itu adalah Alan Greenspan, Ketua Federal Reserve yang disebut oleh para pengamat ekonomi pada masanya sebagai Sang Maestro. Greenspan adalah ekonom yang pandai dalam menyusun model ekonometrika. Model ekonometrika Greenspan pernah berhasil, namun kini setelah terjadi krisis finansial global, para pengamat berpikir ulang untuk menyebut dia Maestro.
Profesor finance itu adalah Fischer Black dan Myron Scholes yang mendapat Nobel Prize Ekonomi berkat karya tentang pemodelan harga equity dan options. Dengan berbekal model pricing options temuannya, Scholes bersama Robert Merton, pemenang nobel ekonomi juga, kemudian mendirikan firma hedge-fund bernama Long-Term Capital Management (LTCM). Selama 1994-1996 LTCM mencatatkan return 40% per tahun dengan total asset 140 miliar USD. Di bulan Agustus 1998 semua berbalik, LTCM merugi besar (1,9 miliar USD dalam satu bulan) yang memaksa Federal Reserve (Greenspan) melakukan bail-out agar dampaknya tidak merembet ke sector financial lain.
Let me tell you, jika pakar saja salah dalam memprediksi trend pasar, maka jika ada seseorang yang mengaku dapat memprediksi pasar, segera anda cuci kaki, gosok gigi, dan pergi tidur. Anda lebih baik bermimpi indah tentang hal lain.
Ekonomi / pasar bergerak tanpa mengenal trend (random).
Hanya ada satu trend yang pasti dalam ekonomi / pasar.
Perhatikan baik-baik eksperimen berikut ini.
Seorang psikolog behaviorist (Paul Slovic) melakukan eksperimen sebagai berikut kepada sekelompok orang, yang disebut tes deret bilangan.
Paul Slovic memberikan kepada setiap peserta kertas dan pensil. Dia kemudian mendiktekan sejumlah urutan bilangan dan meminta kepada sejumlah peserta itu menebak cara deret itu disusun dan berapa bilangan berikutnya.
Tiga bilangan pertama: 2,4,6,…
Peserta sepakat menulis angka berikutnya: 8,10,… (kelipatan 2 dan seterusnya)
Slovic mendiktekan dua angka berikutnya, yang benar: 2,4,6,8,16,…
Sebagian peserta menulis angka berikutnya: 32,64,…(kelipatan 2, lalu 2^3, 2^4, 2^5,2^6 dan seterusnya)
Sebagian peserta lain menulis: 24,32,…(kelipatan 2, lalu kelipatan delapan )
(Perhatikan bahwa di sini terjadi perbedaan interpretasi trend antar peserta)
Slovic mendiktekan angka berikutnya lagi: 2,4,6,8,16,18,17,15,16,18,20,…
Tak ada peserta yang berhasil menebak dengan benar.
Perhatikan bahwa Paul Slovic mendiktekan deret yang dia acak semaunya, sementara para peserta eksperimen berusaha memprediksi deret itu.
Dan inilah kunci eksperimen itu.
Bagaimana cara deret itu disusun? Acak.
Berapa bilangan berikutnya? Tidak tahu, tapi cenderung naik dan tidak akan kembali ke bilangan asal, yakni 2.
Kini pikirkan bagaimana ekonomi / pasar bekerja: acak, kadang naik (ekspansi/bullish), kadang turun (kontraksi/bearish), dalam jangka waktu tidak tentu, namun ekonomi saat ini jelas jauh lebih baik daripada puluhan tahun lalu (meskipun saat ini dianggap sebagai krisis ekonomi terburuk sejak Great Depression 1929-1933, tapi tetap saja GDP dan pendapatan per kapita saat ini jauh lebih tinggi bahkan daripada tahun 1982 sekalipun).
Gambar 3.Trend GDP USA 1947-2008 (Trend: terus naik)
Gambar 4. Trend Laju Pertumbuhan GDP USA 1947-2008 (Trend: acak)
Berikutnya saya akan menunjukkan bahwa sebagian besar investor berperilaku seperti peserta eksperimen Paul Slovic di atas.
Chart 1. Pergerakan Index Dow Jones 1998
Berdasar chart 1998, cobalah prediksi trend yang akan terjadi di 1999.
Apakah prediksi trend anda seperti chart di bawah ini?
Chart 2. Pergerakan Index Dow Jones 1999
Tidak seperti itu?
Baiklah, sekarang anda coba lagi prediksi trend yang akan terjadi di 2000.
Apakah prediksi trend anda tahun 2000 seperti chart berikut ini?
Chart 3. Pergerakan Index Dow Jones 2000
Apakah prediksi anda tepat?
Persis eksperimen Paul Slovic, setiap kali anda membuat prediksi, setiap kali pula pasar mengelabui anda.
Demikianlah yang terjadi dengan banyak ‘investor’, mereka berusaha memprediksi pasar dan menciptakan bermacam tools untuk keperluan itu. Tools itu bernama Bollinger Band, Chaikin’s Oscillator, Ichmoku Chart, Money Flow Index, Moving Average Convergence Divergence, Relative Strength Index, Stochastic Oscillator, dan lain-lain yang membuat kening orang awam berkerut.
Mengapa mereka mengira bahwa mereka mampu memprediksi pergerakan pasar? Ini berhubungan dengan apa yang disebut dopamine.
Dopamine adalah sejenis hormon yang dihasilkan otak. Matt Ridley (Genome; The Autobiography of a Species) bercerita bahwa sejumlah peneliti menemukan bahwa sistem otak sejumlah penjudi memiliki dopamine dalam kadar lebih tinggi daripada orang yang tidak gemar berjudi. Kelebihan kadar dopamine ini menyebabkan seseorang gemar sekali menebak dan bertaruh.
You don’t need to be a mathematician or a statistician
Baiklah kini saatnya mengambil kesimpulan.
Untuk dapat menjadi investor sukses, anda tidak perlu menjadi ekonom pintar macam Alan Greenspan, Fischer Black, Myron Scholes, Robert Merton, atau mathematician hebat seperti Gauss, Cauchy, Lorentz, Benoit Mandelbrot, Nassim Nicholas Taleb.
Investor sukses seperti Charlie Munger dan Peter DeRoetth adalah lulusan hukum yang tidak mengerti statistik dan aljabar tingkat lanjut.
Apapun profesi anda, seorang ibu rumah tangga, mahasiswa, pekerja biasa, dokter, polisi, camat, koki, sangat mungkin sukses menjadi investor. Karena: pergerakan ekonomi (pasar) adalah acak, tak seorang pun mampu meramalkan trend ekonomi (pasar). Satu trend pasti : dalam jangka panjang ekonomi (pasar) akan naik.
Walau tidak perlu menjadi seorang statistician, anda tetap perlu memahami prinsip-prinsip dasar statistika seperti yang saya telah ilustrasikan sebelumnya. Di masa datang saya akan mencoba menjelaskan strategi investasi tanpa mencoba memprediksi dinamika ekonomi dan pergerakan pasar. Strategi ini disebut Value Investing. []
Copyright (c) pratolo.com March 2009
March 9th, 2009 at 10:17 pm
Saya perlu mencatat artikel ini, bagaimana para ekonom kebingungan dengan krisis ekonomi. Ekonom mana yg anda percaya & ikuti?
Economists Rush to Disagree About Crisis Solutions
Some economists say the stimulus plan will only make things worse. Others admit they don’t know the right course
By Peter Coy (Businessweek March 8, 2009, 9:52PM EST)
If the U.S. economy is a sick patient on the operating table, then economists are angry surgeons fighting for control of the scalpel and accusing one another of gross incompetence.
It’s bad enough that few economists predicted how bad things would get. What’s worse is that even now the profession is foggy and conflicted about how to get out of this mess. That’s distressing, to say the least, given the government report on Mar. 6 that the economy lost 651,000 jobs in February. The unemployment rate shot up to 8.1%, its highest since 1983.
The main thing economists are battling over is whether the U.S. economy needs a large jolt of government spending. Those who think so—probably a majority—say the economy is at risk of sinking into a self-sustaining spiral, where a drop-off in consumer spending forces companies to cut jobs, leading to further cutbacks by consumers, and so on into a deeper hole.
A Keynesian “Dangerous Spiral?”
But a vociferous contingent of economists says that deficit spending by the government would only make matters worse. Many of them argue that the economy is going through a healthy and necessary “reset” in which spending, investment, and stock prices are being adjusted downward to reflect a lower and more sensible reassessment of long-term growth expectations.
So, which are we experiencing—a dangerous spiral or a necessary reset? Most of the economists in the “dangerous spiral” camp agree more or less with the late British economist John Maynard Keynes, who warned that economies can get stuck in a trough of insufficient demand for goods and services. He advocated fighting the Great Depression by using government spending to lift demand.
Today a majority of academic and professional economists buy into at least some of what Keynes had to say. For example, a Wall Street Journal (NWS) survey in February of 52 economists concluded that job losses over the next year would be about a million greater without the Obama stimulus plan than with it. In a Mar. 6 interview with BusinessWeek, Nariman Behravesh, chief economist of IHS Global Insight, a widely followed forecasting outfit, said that “the fiscal stimulus is fine in the sense that it’s big and fairly bold.” If anything, he said, it should be bigger and start working sooner.
Contempt for Paul Krugman
But that view is hardly unanimous. In late January The New York Times (NYT) published a full-page ad signed by about 250 economists, including Nobel laureates and other luminaries, slamming the Obama plan and saying, “Notwithstanding reports that all economists are now Keynesians… we the undersigned do not believe that more government spending is a way to improve economic performance.”
These days some of the anti-Keynesians barely recognize the Keynesians’ existence. In an interview on Mar. 6, one of the signers of the New York Times’ open letter, Nobel laureate Edward Prescott of Arizona State University’s W.P. Carey School of Business, argued that “no respectable macroeconomist” believes stimulus works. Prescott said 2008 Nobelist Paul Krugman, the Princeton University professor and Times columnist who advocates stimulus, “doesn’t command respect in the profession.” Prescott argues that what the economy really needs is tax cuts and a commitment to increase productivity, in part by eliminating wasteful regulation. Of Obama, he says: “His policies are designed to depress the economy and are depressing the economy.”
The squabbling is embarrassing to the economics profession, which likes to see itself as a true science with consistent axioms and verifiable claims. In the inaugural issue of the American Economic Assn.’s Macroeconomics journal published earlier this year, Columbia University economist Michael Woodford asserted, “Has there been a convergence of views in macroeconomics? Of course…”
What to make of “Systemic Failure?”
The fact is that it’s hard to see much evidence of “convergence” in the policy debates. Paul Willmott, a specialist in quantitative finance, wrote in a Jan. 1 blog post that where economists go wrong is in trying to construct an intellectual edifice out of crumbly material. Willmott blasted former Federal Reserve Chairman Alan Greenspan for arriving belatedly at the conclusion that the world does not work as neatly as the textbooks say. “Ohmigod!” Willmott wrote. “His naivety [sic] and lack of self-knowledge is staggering.…The edifice of nonsense has collapsed on top of one of its builders.”
Economists naturally don’t like being accused of cluelessness. David S. Evans, vice-chairman of LECG Europe (XPRT), an economic consulting firm, says economists can’t be blamed for being befuddled by the current crisis because “we’re looking at a systemic failure that’s very different from what we’ve seen before.” He said, “It’s kind of like AIDS in a sense. It all of a sudden hits. You don’t know where it came from or how to treat it.”
Duke University economist Campbell Harvey says that given the inherent imprecision in social sciences, it’s not so bad that economists disagree. “I think it’s a good thing that there are arguments,” Harvey said. “We hope that policymakers listen to the debate and make the right choices.”
Lack of Liquidity Came as a Shock
OK. But if all that economists can do is offer policymakers a range of conflicting choices, it’s not clear how much they’re contributing to the debate. Willem Buiter, a professor at the London School of Economics and former Bank of England policymaker, wrote in a February blog that modern macroeconomics—meaning not just the Keynesian side but the monetarist side as well—was caught completely off-guard by the drying up of liquidity in financial markets and lending.
It’s clear by now that mainstream economists deserve part of the blame for the mess we’re in now—along with Wall Street, the Federal Reserve, lawmakers, Presidents, ratings agencies, mortgage bankers, appraisers, and journalists, among others. The so-called dismal science is showing at least some signs of humility. Buiter says approvingly that the Bank of England “has by now shed the conventional wisdom of the typical macroeconomics training of the past few decades.” What’s replacing it, he says, is not a bold new concept of how the economy works, but “an intellectual potpourri of factoids, partial theories, empirical regularities without firm theoretical foundations, hunches, intuitions and half-developed insights.” That, Buiter says, “is not much, but knowing that you know nothing is the beginning of wisdom.” []
March 9th, 2009 at 10:38 pm
Anda, investor, juga sebaiknya membaca wawancara ini, antara BusinessWeek dengan Jim Rogers. Disini mengungkap keterkaitan Alan Greenspan dan LTCM.
For Value Investor: it is time to collect commodity companies with strong fundamental (cash and competitive edge).
Jim Rogers Doesn’t Mince Words About the Crisis
Maria Bartiromo talks to global investor Jim Rogers (BusinessWeek February 26, 2009, 5:00PM EST)
In 1970 a young Wall Streeter named Jim Rogers hooked up with George Soros to start the legendary Quantum Fund. The ensuing decades have seen Rogers build an iconoclastic career as an author, adventurer, and creator of the Rogers International Commodities Index. And throughout, Rogers—now based in Singapore—has remained an outspoken global investor. Today is no different. He has harsh words for former Fed Chairman Alan Greenspan, suggests President Barack Obama and his economic team are not up to the task, and thinks tough love is the answer for America.
MARIA BARTIROMO: What do you think of the government’s response to the economic crisis?
JIM ROGERS:
Terrible. They’re making it worse. It’s pretty embarrassing for President Obama, who doesn’t seem to have a clue what’s going on—which would make sense from his background. And he has hired people who are part of the problem. [Treasury Secretary Tim] Geithner was head of the New York Fed, which was supposedly in charge of Wall Street and the banks more than anybody else. And as you remember, [Obama's chief economic adviser, Larry] Summers helped bail out Long-Term Capital Management years ago. These are people who think the only solution is to save their friends on Wall Street rather than to save 300 million Americans.
So what should they be doing?
What would I like to see happen? I’d like to see them let these people go bankrupt, let the bankrupt go bankrupt, stop bailing them out. There are plenty of banks in America that saw this coming, that kept their powder dry and have been waiting for the opportunity to go in and take over the assets of the incompetent. Likewise, many, many homeowners didn’t go out and buy five homes with no income. Many homeowners have been waiting for this, and now all of a sudden the government is saying: “Well, too bad for you. We don’t care if you did it right or not, we’re going to bail out the 100,000 or 200,000 who did it wrong.” I mean, this is outrageous economics, and it’s terrible morality.
You have said Bear Stearns and Lehman (LEHMQ) would still be around if Greenspan hadn’t bailed out Long-Term Capital Management in 1998. Can you explain?
Well, if Long-Term Capital Management had been allowed to fail, Lehman and the rest of them would’ve lost a huge amount of money, their capital would’ve been impaired, and it would’ve put a terrible crimp on Wall Street. It would’ve slowed them down for years. Instead of losing capital, losing assets, and losing incompetent people, they hired more incompetent people.
Should AIG (AIG) have been allowed to fail, too?
First of all, banks and investment banks and insurance companies have been failing for hundreds of years. Yes, we would’ve had a terrible two years. But you’re dragging out the pain. We had 10 years of the worst credit excesses in world history. You don’t wipe out something like that in six months or a year by saying: “Oh, now let’s wake up and start over again.”
What about Citigroup (C)? What about the car companies?
They should be allowed to go bankrupt. Why should American taxpayers put up billions to save a few car companies? They made the mistakes! We didn’t make the mistakes! I’m sure they’ll give them the money, but I’m telling you, it’s a mistake. It’s a horrible mistake.
I totally understand what you’re saying, but the banks are under massive pressure.
They all took huge, huge profits. Who was the head of Citigroup? Chuck Prince? I mean, how many hundreds of millions of dollars did Prince take out of the company? How many hundreds of millions of dollars did other Citibank execs take out of the company? Wall Street has paid something like $40 billion or $50 billion in bonuses in the past decade. Who was that guy who was the head of Merrill Lynch (MERR)?
Stan O’Neal?
Right, Stan O’Neal. He got $150 million for leaving, even though he ruined the company. Look at the guy at Fannie Mae (FNM), Franklin Raines. He did worse accounting than Enron. Fannie Mae and Freddie Mac (FRE) alone did nothing but pure fraudulent accounting year after year, and yet that guy’s walking around with millions of dollars. What the hell kind of system is this?
Are you worried the economic crisis will lead to political turmoil in China and elsewhere?
I absolutely am. We’re going to have social unrest in much of the world. America won’t be immune.
What does all this mean from an investment standpoint?
Always in the past, when people have printed huge amounts of money or spent money they didn’t have, it has led to higher inflation and higher prices. In my view, that’s certainly going to happen again this time. Oil prices are down at the moment, but that’s temporary. And you’re going to see higher prices, especially of commodities, because the fundamentals of commodities are enhanced by what’s happening.
Which commodities are worth buying or holding on to?
I recently bought more of all of them. But I really think agriculture is going to be the best place to be. Agriculture’s been a horrible business for 30 years. For decades the money shufflers, the paper shufflers, have been the captains of the universe. That is now changing. The people who produce real things [will be on top]. You’re going to see stockbrokers driving taxis. The smart ones will learn to drive tractors, because they’ll be working for the farmers. It’s going to be the 29-year-old farmers who have the Lamborghinis. So you should find yourself a nice farmer and hook up with him or her, because that’s where the money’s going to be in the next couple of decades. []
March 10th, 2009 at 12:00 pm
Haaa… ngga panjang deh komennya… Cuma penasaran, yang dikau sebut Paijo itu siapa yak?
.
-Mee-
pratolo.com
Haaa..ya yang dulu itu sekelas sama Joko Waluyo dan suka duduk disampingnya.
Yg jelas bukan pacarnya Joko, karena Joko lelaki normal
March 15th, 2009 at 12:31 pm
Penulis membuktikan bahwa hidup adalah serangkaian kejadian random ketika penulis bertemu pertama kali dengan (calon) istrinya. Probabilitas pertemuan itu: satu di antara sembilan milyar sebelas juta dua ribu lima kemungkinan, MEMBACA TULISAN INI JADI INGET TULISAN DI AWAL, BAGAIKAN MENEMUKAN GUNDU PUTIH DI SEGEPOK GUNDU YANG BERWARNAWARNI HEHEHEHE
pratolo.com
Jadi kita ketemu sebenarnya tgl 8 apa 9 ya?
Soalnya nanti akan mempengaruhi probabilitas pertemuan kita
March 21st, 2009 at 5:33 pm
Hm,saya membaca artikel menarik di bawah ini,tentang seorang Quantitative Analyst veteran yg menemukan formula ampuh (holy grail) dlm industri hedge fund. Dia seorang pemain jangka pendek sejati bermodal pengalaman puluhan tahun di industri hedge fund. Orang ini mengingatkan saya pd Nassim Nicolas Taleb dari hedge fund Empirica LLC.
The bad news: you can’t follow his method. It’s too complicated.
Fortune
Inside the world’s biggest hedge fund
Thursday March 19, 5:50 am ET
By Brian O’Keefe, senior editor
Is the current downturn merely a severe slump, or are we facing a second coming of the Great Depression? That’s the question everyone is asking these days. But Ray Dalio, founder of Bridgewater Associates and manager of what is now the world’s biggest hedge fund, has been preparing to answer it for eight years.
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In 2001 he had his investment team build a “depression gauge” into the firm’s computer system, line by line in the code, to adjust the portfolio’s strategy and risk profile if the economy ever entered a massive deleveraging period – the kind of multiyear process that ricocheted through the world economy in the 1930s and that has eviscerated markets periodically through the ages.
On Sept. 30 of last year, just a couple of weeks after the failure of Lehman Brothers, Dalio logged into his system and saw that the computer had flipped the switch. Bridgewater’s black box is now operating on high alert.
Yet even as he is preparing his clients to hunker down for something different and more challenging than a typical recession, Dalio still expects his fund to thrive. Because his approach doesn’t depend on the direction of any particular market, he explains matter-of-factly, there is no reason that he shouldn’t continue to find as many good investment opportunities as he always has. Considering what he sees coming, that’s a pretty bold statement.
In normal times we might be writing about Ray Dalio, 59, simply because he’s one of the world’s most successful investors. Since starting Bridgewater Associates out of an extra bedroom in his Upper East Side Manhattan apartment in 1975, Dalio (pronounced Dally-o) has built the firm into a powerhouse managing some $80 billion. With a personal fortune estimated at more than $4 billion, he ranks as one of the wealthiest residents even in money-soaked Greenwich, Conn.
More impressively, for the past 18 years his flagship hedge fund, Pure Alpha, which now holds more than $38 billion, has averaged an annual return of 15% before fees – gliding through the Asian flu of the 1990s, the dotcom implosion, the terrorist attacks of Sept. 11, 2001, and the current worldwide financial crisis without ever suffering an annual loss greater than 2%. Last year, when 70% of hedge funds lost money and the average fund fell 18%, Pure Alpha generated a gross return of 14%.
But these are not normal times. And what makes Dalio compelling is not just his track record but the way he goes about making money, and the rigorous analysis he applies to understanding markets, organizations, the economy, and life.
Does Dalio think of himself as one of the world’s great investors? “No,” he says, shaking his head, visibly agitated. “First of all, I don’t know what the definition is of ‘one of the great investors.’ It’s a totally irrelevant question. I have the fear of messing up. And that fear drives me to ask, ‘Well, could this thing happen? Could that thing happen? If it happened in Japan, how do I know it won’t happen to me?’”
Dalio describes himself as a “hyperrealist,” in the sense that he is driven to understand the processes that govern the way the world really works, without bringing subjective value judgments into the equation. “I think the thing that makes him different is an intolerance for the inadequate answer,” says Bob Prince, 50, Bridgewater’s co-chief investment officer, who’s been with the firm since 1986. “He’ll just keep peeling back layer after layer to get at the essential truth.”
In every activity in his life – from managing his firm to stalking a wart hog on a bow-hunting trip – Dalio believes in applying a carefully thought-out process to get the results he wants. That’s especially true in making investment decisions. “I’m very big on having clarified principles,” he says. “I don’t believe in being reactive. You can’t do that in the markets effectively. I can’t. I need perspective. I need a game plan.” To develop one, he stress-tests strategies through computer simulation across time and around the world to make sure that they’re “timeless and universal.” It’s all about cautious – and highly educated – wagering on probabilities.
During the long boom, many hedge fund managers earned billions on big leveraged bets that stocks would rise; later, a handful made fortunes by anticipating the bust. That not Dalio’s style. (In fact, he hates being called a hedge fund manager.) For one thing, he doesn’t magnify his bets with a lot of borrowed money – his leverage ratio is about 4 to 1, far less than other investors have used.
Like fellow quant-minded managers D.E. Shaw or Jim Simons of Renaissance Technologies, Dalio translates his insights into algorithms and then has a powerful computer system scour dozens of markets around the world looking for mispriced assets and other opportunities. Rather than focusing only on stocks and searching for Peter Lynch’s proverbial “10-bagger,” Dalio and his computers concentrate heavily on the currency and fixed-income markets, grinding out consistent singles, doubles, and occasional triples. That approach, as we’ve seen, can be very rewarding.
Understanding the ‘D-process’
Bridgewater’s main office is an unobtrusive, three-story stone and glass building that sits on 22 acres of heavily wooded land in Westport, Conn., some 20 miles up the coast from Greenwich. The firm has added space in three other buildings around the area as the explosive growth in its assets under management – averaging more than 40% annually for the past 10 years – has necessitated a similar investment in new employees and technological capacity. Since 2000 its headcount has grown from just under 100 to about 800, with more than 100 people in its client services division alone.
Unlike a typical hedge fund, Bridgewater does not manage money for wealthy individuals. Rather, it works only with large institutions like pension funds and sovereign wealth funds. Right now the firm has 270 clients, about half in the U.S. and half overseas. Like a standard hedge fund, it charges a management fee of 2% of assets and 20% of profits.
But its relationship with its investors consists of much more than taking a cut of their money. Bridgewater’s army of analysts provides clients with a stream of research. “I love their daily economic report,” says Loews Corp. CEO Jim Tisch. “For me it’s a must-read.” And the analysts are always on call to perform custom jobs or offer a portfolio critique – even of allocations to other hedge funds. “I view them more as a partner than a vendor,” says John Lane, the director of Eastman Kodak’s $7.5 billion pension portfolio, which has had money with the firm since the late 1980s. “We don’t make a major change here in strategy without calling Bridgewater to get their view.”
The money-management industry has been battered by scandal and failures lately, but Lane has complete confidence in Bridgewater. “Of all the investment firms we work with,” he says, “they’re the most trusted.” Asked head-on about the trust issue, Dalio points out that outside custodians hold customers’ money and that his institutional clients aggressively audit Bridgewater’s operations.
Dalio, a sturdy six-footer who favors open-collar cotton shirts and corduroys when he’s not meeting with clients, works out of an unostentatious office brimming with photos of his wife and four children and has a view of the Saugatuck River, which flows through the property. The rustic feel of his surroundings pleases him. A member of the board of the National Fish and Wildlife Foundation, he’s an avid fisherman and bow hunter who has gone after everything from Cape buffaloes to wild boars. He says that his attraction to outdoor activities – he also enjoys snowboarding – is primarily a manifestation of his appreciation for the beauty and sophistication of nature. By comparison, he says, “anything that man sees or does is overly simplistic.”
To maintain his mental energy and creativity, Dalio meditates about five times a week for 20 minutes, a practice he says he adopted when “the Beatles started doing it in 1968.” He is also a rabid music fan with omnivorous tastes. He keeps a box at the opera in New York City, makes an annual trek to New Orleans for Jazzfest, regularly goes salsa dancing with his wife, and has a passion for the blues.
Like many billionaire money managers, Dalio has his own charitable foundation. For the past three years, he’s funded newspaper and radio ads supporting a campaign called “Let’s Redefine Christmas,” which challenged people to give donations to charities as gifts instead of indulging in the holiday ritual of conspicuous consumption.
Although Dalio says he is not a particularly big reader, these days his desk is piled high with some 20-odd books on economic debacles, such as “Essays on the Great Depression” by Ben Bernanke and “The Great Crash of 1929″ by John Kenneth Galbraith. Inside each are Post-it notes and hand-scribbled thoughts in the margins. He also keeps close at hand a binder he’s put together with detailed, 100-page timelines of the four major deleveraging episodes of the past century – the hyperinflation of the Weimar Republic in the 1920s, the worldwide crash during the Great Depression in the 1930s, the Latin American debt crisis of the 1980s, and Japan’s lost decade of the 1990s. He says the timelines provide “a virtual experience of what it would be like to trade through each scenario.”
Out of those four historical examples, Dalio says that our current situation most closely resembles the Great Depression because of the global breadth of the problems. But he doesn’t like to use the term “depression.” He thinks it’s too scary, evoking as it does images of hobos and Hoovervilles, and distracts people from focusing on the mechanics of what is going on. He prefers to use a term he coined: “D-process.”
Most people, says Dalio, think that a depression is simply a really, really bad recession. But in reality, the two are distinct, naturally occurring events. A recession is a contraction in real GDP brought on by a central bank tightening monetary policy, usually to control inflation, and ends when the central bank eases. But a D-process occurs when an economy has an unsustainably high debt burden and monetary policy ceases to be effective, usually because interest rates are close to zero, and the central bank has no way to stimulate the economy. To compensate, the value of debt must be written down (risking deflation) or the central bank must print money (a trigger of inflation), or some combination of both.
In recent years the level of debt as a percentage of GDP in the U.S. has skyrocketed past previous highs last seen in the early 1930s. And the Federal Reserve’s benchmark rate is now hovering just above zero. To Dalio, therefore, it’s clear that a D-process is under way. “It seems very likely that stocks will get materially cheaper,” he says. “We have to go through an important debt restructuring process, and a lot of assets are going to be for sale, huge numbers of assets. And there’s going to be a shortage of buyers.”
Even investors in most hedge funds won’t be immune. According to research by Bridgewater, the hedge fund industry in aggregate is 75% correlated to the S&P 500, an issue on which Dalio has been sounding an alarm for a couple of years now. “Too many people have a systematic bias toward positive economic growth,” he says. “I think that what we’re going to probably have is an economy that’s going to get worse, with most people positioned for it to be better.” By the end of the D-process, he expects that the reverse may well be the case.
Alpha returns
Dalio grew up in suburban Long Island, N.Y., the only child of a jazz musician and a homemaker. Unlike his father, who played clarinet, piccolo, flute, and sax, Dalio never had the patience to learn an instrument. As a boy in the early 1960s, he caddied at a nearby golf course. The stock market was booming at the time and, at age 12, Dalio heard enough hot tips that he decided he wanted to get in on the action, so he went to see his father’s broker. When his first purchase, Northeast Airlines, took off, he was hooked.
After attending Long Island University, he got an MBA at Harvard, spent a year as the director of commodities trading at brokerage Dominick & Dominick, and ended up working under Sandy Weill at CBWL Hayden Stone, where his job was to help businesses hedge their market risks using futures. After a year he struck out on his own as a consultant, helping companies hedge interest rate and currency risk. On the side, he invested his own money and began to accumulate trading “decision rules” – at first jotted down on notebooks, later stored on computers – that could be back-tested to see whether they worked in different eras and markets. In the mid-1980s, he parlayed his reputation for quality research into a chance to manage $5 million of fixed-income money for the World Bank, and produced spectacular returns. He launched his hedge fund portfolio in 1990 with money from Loews Corp. and Kodak.
It’s no accident that Bridgewater’s flagship fund is called Pure Alpha. The name reflects Dalio’s commitment to an approach to investing – “portable alpha,” or the separation of so-called alpha and beta – that was innovative when he started but is commonplace today in the wonkier corridors of Wall Street. “Ray Dalio recognized that the traditional model of portfolio construction was too constrained,” says Angelo Calvello, a former executive at State Street Global Advisers and Man Investments and the author of a number of publications on portable alpha. “He really changed the way that people thought about investing and allocating risk.”
In investing terms, beta is the passive return that a portfolio might get from the ups and downs of a benchmark such as the S&P 500 stock index. Alpha is the measure of a manager’s return, with the same risk, in excess of the beta. For his own fund, Dalio devised an “alpha overlay” approach that allowed him to allocate a certain amount of capital to replicate an investor’s chosen benchmark and then roam free among other asset classes looking for the best possible “alpha streams,” or return opportunities. It was the perfect way to employ the trading formulas he had been accumulating over the years.
Then, Dalio says without irony, he discovered the holy grail of investing, “by which I mean that if you find this thing you will be rich and successful in investing.” This grail is not, unfortunately, a talisman that a regular person might stumble on, but a formula: 15 or more uncorrelated return streams, either betas or alphas. According to Dalio, such a portfolio reduces risk by 80%.
The tricky part, of course, is finding a large number of reliable, uncorrelated, moneymaking sources of alpha in the first place. (If it were easy, everyone would do it). And it requires venturing far beyond the bounds of equities. Today, Bridgewater’s computers scan the world for opportunities in roughly 100 different categories, ranging from directional bets on the price of industrial metals to relative bets on pairs of emerging market countries’ interest rates. Having the fund so widely diversified reduces the risk of a major blowup – and it limits the impact that Pure Alpha can have on any one market.
Bridgewater’s confidence in the Pure Alpha system is so great that a couple of years ago Dalio did something rare on Wall Street – turn away money. By the end of 2005, Dalio and his team felt that they were reaching the limits of their investment capacity. They decided it was time to stop taking new accounts and focus exclusively on their best strategy. Much of the money they were managing was segregated into portfolios for, say, global bond exposure using a more traditional approach, rather than Pure Alpha. So they gave their clients the opportunity to either transfer their money to Pure Alpha or withdraw it, if the portable alpha approach didn’t fit their institutional mandate.
In the end Bridgewater did lose a few clients but created room to add more money from its existing ones. These days, in addition to the $38.6 billion in the Pure Alpha fund, Bridgewater has $17.9 billion in a portfolio called All-Weather, which Dalio originally created for his family trust. All-Weather is a “passive” fund designed to provide a long-term return comparable to that of a 60/40 mix of stocks and bonds, but with less risk (last year it was down 20%). For investors willing to take more risk, there is also a Pure Alpha II fund that makes the exact same bets as the flagship but with half again as much volatility.
‘Either a cult… or the happiest place on earth’
A couple of years ago, Dalio surveyed his rapidly growing firm and decided that he needed to codify his value system so that there would be a model for working and managing the Bridgewater way. So he sat down to write an outline of his principles. The result is an extraordinary 62-page document that every employee is required to study. (Sample tidbit: “At Bridgewater people have to value getting at the truth so badly that they are willing to humiliate themselves to get it.”)
“If you took five organizational psychologists, locked them in a room, and told them to create the perfect blueprint for a corporate culture, this is about what they would come up with,” says Bob Eichinger, a retired consultant who has spent five decades working with companies on how to manage talent and now works part-time for Bridgewater. “He’s trying to design a culture in which people with talent have the freedom to perform.”
The result of that design feels pretty radical compared with the typical corporate environment. In keeping with his identity as a hyperrealist, Dalio is committed to total transparency. So, for instance, every meeting is taped and kept on file. Blunt and frequent feedback is required, including “drill-down” sessions that probe into why employees failed at tasks. Managers aren’t allowed to evaluate an employee’s performance unless he or she is present. Because Dalio believes mistakes are valuable learning tools, every time something goes wrong employees are required to file a memo in the so-called Issues Log. And because Dalio is passionate about the meritocracy of ideas, subordinates are encouraged to argue with their superiors – and the superiors are required to encourage it. “We hate egos,” he says.
If young employees – and loads of recent Ivy League grads with 99th-percentile SAT scores roam the halls – need a reminder of the potential opportunity afforded by that meritocracy, they need look no further than Greg Jensen, 34, the head of research and the third voice, along with Dalio and Prince, in the firm’s weekly investment strategy meetings. Jensen started at Bridgewater as an intern directly out of Dartmouth and rose quickly through the ranks. “I love that your contribution here gets evaluated on a logical, principled basis rather than through the prism of a power base,” he says.
Not surprisingly, the intense culture is not for everybody. “It’s either a cult with mind control or the happiest place on earth, depending on whether you buy into it,” says one former employee. Even some happy current employees say that there was an initial adjustment period and admitted that aggressively candid feedback wasn’t always fun. But several spoke of how empowering such an open approach can be, and a few even offered testimonials for how embracing a policy of radical clarity had improved their personal lives.
More to the point, perhaps, is the fact that Dalio’s system gives him the results he’s looking for. He says he is perfectly comfortable having his assertions challenged at all times. In fact, he craves it. “I draw my conclusions,” he says, “and I say, ‘Please shoot holes in this. Tell me where I’m wrong.’ People tend to think that my success, or whatever you want to call it, has been because I’m a really good decision-maker. I think it is actually because I’m less confident in making decisions. So in other words, I never know anything really. Everything is a probability.”
And that’s what keeps him alert to ever-changing conditions. “If I had to make lots of long-term bets, my track record would be much worse than it is,” he says. “The beauty of my position is that I have the ability to change my mind tomorrow.”[]
May 2nd, 2010 at 6:29 pm
That was a excellent post,I count on some more post from you.