前陣子看了阿堯跟威宇最新上傳的 youtube 影片關於對於投資的再思考，我也想花時間紀錄一下自己對於投資理解的改變以及手法上的改變。

對於投資跟投機的定義，市場上對於不同人一直有不同的定義。許多人會依照自身經驗，把比較不熟悉跟新生的事物，或是基本面比較模糊的東西就直接定義成投機。對照自己學習的來說，與其因為符號的關係而把事物認定成二元是本末倒置，事實上實際的運作更有可能的是一個光譜。這有點像是李小龍開創的 Mixed Martial Art，把原本各個流派有用的理論結合成現代武術，或是按照實證醫學的講法可能就是結合運動科學跟實驗精神去打造實證武術。我自己的路程由於工程師背景最早其實接觸的是 Quant，但意識到 Quant 基本上是拼機器跟基礎建設的軍備競賽而轉向基本面，對於傳統技術面來說大概已經比不太過經過實證統計的 Quant，大概只有在對手比較弱或散戶組成比較多的市場還顯著有效，記得有看過索羅斯的前交易員說傳統技術面在美股已經不太有效，但也許像是陸股或台股之類散戶組成比較多的地方大概還是有效，只是弱化而已。正由於手法如此多種而自己都多少接觸過，先來說說我自己覺得不同面向的投資定義方式

1. 不需要在乎明天市場開不開，而關注商業競爭本身。價值投資人跟或是激進投資人以及 PE 等等大概落於此光譜
2. 在乎市場是否開，但關注於期望值，而在乎市場是否開的長短以及多少主觀判斷來決定了是類似 Event-Driven 投資人，或是像是 cis 類型的瘋狗流，以及是全自動交易的 Quant
3. 造市商，也就是所謂的高頻交易，這幾乎快是市場的基礎建設，比較難說是純粹的投資。

這幾種定義反應的是對於這世界理解，自身的限制，能力以及與哲學上的態度。由於你的交易總是會有不如預期的時候，如果你沒有一套自己的哲學跟邏輯論述，在交易不如預期的時候會陷入進退失據的狀態。在最開始的時候雖然我能接受純技術面或 Quant 能夠賺錢，但自己操作的時候是無法接受純技術面去操作的，主要是心理面無法克服。隨著越讀越多，還有實際看到其他人找到市場中暫時 displacaement 的部分去博弈，漸漸反思自己的整體作法而逐漸改變。

能夠調整主要是意識到，其實不只在投資中，我們在生活中經常依賴所謂的技術面來外包我們的判斷給其他人，就算是那些堅稱自己做價值投資的人，我是很難想像他們在生活中不曾因為某些餐廳大排長龍而，或是在新聞中看到比較多次關鍵詞而被影響去吃一些餐廳。現代社會是複雜的而個人時間有限，對於工程師來說就好像是一個複雜的分散式系統一樣，而我們不可能讀完所有的原始碼，而我們也並沒有一個 dashboard 來追蹤經濟這個機器的每一個面向。所以這時候難免會需要依賴於一些看似巫術的指標去逼近，只要逼近得足夠好不妨礙到我們生活就沒必要改變，除非是指標不夠準而需要精進。反應回交易，這就是必須承認我們實在玩 partial information 的遊戲，如何去權衡在自己的主場中玩 full information 的遊戲或是依賴於一些指標去逼近，就依賴於自己的哲學。而我自己是比較傾向於索羅斯定義的反身性以及他老師 Carl Popper 的科學哲學，就算你相信自己在玩 full information 的遊戲，很多事情是只能被証偽的，相信自己在玩 full information 跟使用巫術來選股，哲學上在被証偽之前可能都是被金融市場視為非無效，這該怎麼取捨還是取決於你自己的貝氏機率的 prior，而這個 prior 很可能決定於你出身的時代，你經歷過的事，當這些成為市場參與者的心理共識時，又會進一步改變市場結構。

說到共識，投資是一個尋求共識的過程，而有些方法就是比較容易說服別人。而所謂的別人，就是市場中資金的參與者，這會根據散戶的比率而造成某些現象在不同市場的差異，因為所需說服的人不同。有些研究說歷史上或有價值跟成長投資的風格切換週期，通常成長股表現比較好是在 Big Debt Cycle 裡面的經濟成長週期，而價值表現比較好通常是經濟走出低谷剛進入復甦的階段。我覺得就是市場在不同的階段，市場上的參與者具有說服力的說詞是不同的，在成長週期中，業績成長就是一番兩瞪眼，不需要多聰明都可以明白。而困境反轉是比較有難度的，畢竟原本的氣氛可能是十分悲觀，但只要業績沒有那麼慘，就可以用數據說服市場的參與者。那究竟能不能用一些指標來知道何時會風格切換呢？目前研究應該是覺得沒辦法，所以反應在自己的作法就是類似艾謝克那樣，用總經資訊像是零售，美元強弱，PMI 等等判斷持股水位，跟風格的倉位。總經方面的資訊很難用到實際的交易，但我覺得用來決定配置的資訊還是有些顯著性的，這就好像是玩大亂鬥之中有一些場地的亂入攻擊你必須要避開，這會來決定你整體策略為何。

手法方面，自己對於每種方法適用的情境，還有自己對於不同產業的估值模型也比較純熟，甚至對於 position sizing 從原本的無所是從，也漸漸有自己的因情境改變的手法。

例如這陣子很流行的瘋狗流，雖然我目前還沒看到有嚴謹的定義，就我的理解，比較像是利用基本面或籌碼面或其他經濟的另類指標，抓到起漲點然後去衝浪，並且加大資金 turn-over 來有效幫助資金成長。這看似不是價值投資但其實我覺得也是非常吃操盤人的經驗跟基本面分析主觀判斷的，但差別點在於他更多的是看待投資為期望值打法，承認自己有些許資訊優勢，但在整個波段可能不是資訊最強的，所以會外包很多判斷給籌碼跟資金流向。然後用停損來控制期望值是正的。對於操盤人本身的心理素質要求也是蠻高的。我個人認為適用的主場是像是台股這樣沒有個人資本利得稅，而且半導體，電子股還有傳產是或多或少算是週期較短的地方，畢竟週期股波峰跟底可能會相差到十倍。在美股的話，如果交易人是美國資本利得稅務身分，而美股市場又是期權市場比較發達的地方，改用 Options 的策略來做區間或是波段會是更適合的作法，但風險不對稱還有下檔保護風險的打法我覺得精神上都是類似的，就是建造一個期望值為正的系統，並且讓你心理可以承受的住。

由於知道瘋狗流的作法，對於一般人理解傳統價值投資的一些盲點也有了更深的體會。我覺得傳統價值投資麻煩的一點就是你不知道會不會是價值陷阱，而多數的書裡面對於 position sizing 以及下檔保護等等的著墨並不多，多數的價值投資人都是說並不會停損，好一點的會說會依照新的資訊如果對於原本進場的 thesis 造成實質的改變就會賣掉。而實際去檢視其實說這些話的人多半都是股東會有實際話語權甚至是決策權的，因為實質的權力可以保護下檔。就算沒有控制權，他們可能也是在挑對手比較弱的主場，譬如說是 micro-cap space，對手沒有其他法人的話就可以優先接觸到管理層，因而有資訊優勢，當然壞處就是 micro-cap 的流動性比較不好，在系統性風險發生的時候不是很好逃跑。對於部位不夠大而價值投資做的好的人，我觀察到的幾乎其實都是在做 Value Trading，其實他們賭的並不見得是三年以上的維度，而是幾季甚至是一年為 timeline 的短暫 value displacement，因而要跑的判斷可能比較容易定義。如果是要完全不停損的話，另一種方式就是要等安全邊際夠大的時期左側交易，大概只能等那種十年一次的系統性風險，那就是變成十年一次壓身家。太過分散的話超額報酬又不高，畢竟超額報酬是博弈而來的。 但這又會牽扯到 position sizing 的問題，萬一你錯了怎麼辦？按照 Joel Greenblatt 的訪談時說法，他的 position sizing 原則是他不是看風險報酬比，而是他覺得會輸錢的絕對數值不大的時候他才會放大部位。如果一個 binary event 上檔是十倍但下檔是歸零的時候是不符合壓大的定義的，但這其實跟期望值打法是異曲同工之妙，只是是利用基本面的計算來控制下檔風險，畢竟下檔控制不外乎幾種方法。

1. 跑得快，那就要要求流動性。利用停損來控制損失部位。
2. 基本面來看沒什麼系統性風險，或是提升 security 的優先順位買 preferred stock 或 senior bond。
3. 找博弈對手弱的主場，比別人早知道消息。
4. 利用衍生性金融工具，賭不對稱，譬如波動率高的時候賣 put，在下跌趨勢中買 call

從書裡描寫的價值投資直接照搬一般個人情況，在艱難時期或是看錯的時候，常常就是賠大錢的時候。

零零總總打了一堆，算是紀錄一些想法的改變。

I had experienced burned-out in the past two years. The symptoms of burned-out could include

• Don’t want to go to work, questioning yourself continuing doing certain things.
• Unmotivated. You used to be into something, maybe travel, then suddenly you stopped enjoying it. It has become your new normal and you need next big in life. You can’t find your purpose.
• Feeling stuck in life. You are an analytical personality and you try to break down the problem into pieces but still unable to find out a solution to break out of the status-quo.

I explored and came out my own methodology, I have tried it out on my friends seeking my advice and the experiments so far look positive. It’s not for every one, but if you are from similar background as mine, you might find the methodology helpful. My background is:

1. Analytical personality, with strong belief in Science or the philosophy foundation established by Karl Popper / Thomas Kuhn.
2. Agnosticism or Atheism, where you don’t lie your belief system on “believing in god” as the first principle and derive that these all difficulties in life are challenges designed from god, and you believe that eventually you would make through this.

I noticed that my methodology is very software operational influenced, or could be logically structured like this:

1. Mitigate the problem. At least stop bleeding.
2. Analyse the root cause.
3. Explore and re-establish your logical/belief network (or software)

The first step of mitigating the problem is to make sure you are not sick (that could be measured by modern medicine). Not to jump into the topic of Materialism v.s. Spiritualism, we definitely agree that your body would play a role affecting how you think, or if you’re still able to think rationally. Ruling out the possibility of depression etc would be the first step.

After making sure you’re not sick, you could use body hacking to make yourself better.

1. Start activity that make your body generate Dopamine without too many side effects. Like excercise. You might feel like doing nothing but you have to force yourself to start it from very small, even just walking 10 minutes, and slowly increase the activity. It’s the same way to treat procrastination.
2. Jam your brain’s attention. Your attention is limited. And when you are down your attention would be focus on negative thoughts and emotions. However, the right way is not to ask yourself not to think about it. That would backfire. The correct way would be doing something jam your full attention bandwidth, so it leaves no space to negative thoughts. That’s how travel to some where you’re unfamiliar would work, because your day-to-day attention would be jammed by new information like “how do I get to the next destination?”, “where’s the super market close to my hostel?”

Once you finished the mitigation step, we would need to find out the root cause of the problems. And usually you would be stucked at these steps and you have no idea how to make a breakthrough.

1. The sequence of outcomes doesn’t match what you’ve expected, which frustrated you.
2. You lost motivation, and not sure what’s the meaning of doing certain things though you could find some weak reasons.
3. The constraints are too many and you’re not able to solve them all.

Before jumping into the detail, I’d like to address what’s the foundation / framework on tackling these problem. It’s the logic system borrowed from Philosophy and Mathematics. Like dealing with any problem in life you must admit a foundation where you could build solid ground on. To me it is the logic rules and axiom, even the modern theology is built on logic and axiom. I don’t see any better foundation you could rely upon at this moment. The difference and the key part is to know yourself well, since that would play a key role to know what your axiom are. For example: Your personality is like Alex Honnold in the documentary film: Free Solo where you have a big heart for adventure. You can’t tell why since that’s a part of yourself. It is what it is and you can’t ask further, that’s your axiom and it would be the starting point for reasoning in your logic system. It would be another story if your personality is conservative on risk. When facing on the same type of scenario, the same logic rules with different axiom could lead to very different reasonable action items. They are true respectively in their own logic system. Understanding this fact would aslo help you whether to take advice from others. Their advice could be very helpful in their own background but may not apply that well in your system.

Apart from the logic system mentioned above, I also borrowed probabilistic thinking from the master poker players and investing guru. If you read enough you’d notice that the probablistic thinking they are not only applied well in those domains. Your daily life are challenged by a lot of uncertainty and unsure, where they are subject to certain known or unknown distribution. But people rarely see it that way, they would see they did something wrong when the outcome was not right. It might be true, but you have to take a grain of sale on that where you need to guess what’s the oracle distribution behind the world you’re facing and you still might face bad outcome with certain probability even you are doing the right thing. It might just you’re just unlucky for the time being. And the reasonable action is to keep doing it until it reverses to the mean.

Beyond that, sometimes the feedback loop are unnoticeable in incremental amount. The typical tasks like these are language learning and gym training. You have to sort of “believe” that eventually it would work out and stick with it for a time window until you make it. You have to be able to identify the difficulties you are facing is just a part of that kind.

With the above said, now we could tackle the three scenarios mentioned above to find out the root cause.

1. Make sure if you are just unlucky for this sequence of bad outcomes, is it significant enough to make you question maybe your view on the oracle distribution might be wrong, if it is then change your view, and start with a new distribution hypothesis and change your action accordingly. Then test them out with your future efforts. The world is not fixed in stone and keep changing, so the oracle distribution might over changes over time, it is called non-strationary distribution in Mathematics
2. If you start to question what the meaning of working on taks A. Usually you’re asking the wrong question. You would never asked yourself what the meaning is to have Hamburger for dinner if you’re up to it, since your body feel like it. That means your axiom mismatches with what you thought you are. You start to cheat on yourself’s feeling. The correct question is, how should I follow my body tells me but at the same time I could make enough of money, support myself etc. That’s the constraints put by reality. Wasting time on finding the meaning is looking for the solutions in the wrong direction.
3. If you’ve ever felt too many constraints in life: Like you are married and have two kids, and you still feel like you’d like to climb the corporate ladder and make good progress in your career. It’s like the tasks you faced in corporate life, make a priority and drop some of the contraints. People tend to have more in life but not aware that more values in life usually they would conflict with each others in unexpected ways, or resource contention. Even for very generalized concepts like democracy and freedom could result into dark corners where you have to make a trade-off. Once you re-examine the contraints, and re-examine your logic rules in your system. You could probably find a way to work-around the “bug”. It’s pretty much debugging software products, where you could leverage on debugging skill by removing certain constraints and see if the output would change if not subjecting to heisenbug.

Usually you would know the action items once you identify the root cause. Sometimes it is not that easy. However, the world is big, I would like to lay my belief not on deity but the fact that the world is big and believing that the difficulty you face today might have been resolved by somebody else in the world before. Read more blog posts and books to learn from others’ expereience. Especially the brighter ones. I like Bill Gates’ method to reset, where he would bring tens of books and lock himself into an isolated woodhouse in the forest and focus himself on the topic. I also tried this method by myself. I read the tens of books from business people, or the topics that I wouldn’t usually touch to explore the inspiration from others. And they might share the misearble situation they faced before and when realizing those, you would feel you are in a much better position. It would do good on seal healing the wound. This method create positive optionality. Traveling to challenging place would sort of play the same type of roles, but mostly distraction since those wouldn’t bring knowledge from reading a book.

Again, these are the framework I adopted, and I assume the methodology would only apply to certain group of audience. I kind of abstract the process how people self cure the mental problems over the years and come up with this framework. I don’t know how far it could apply but it works well for myself and a few samples around me. Hope that is helpful.