Ep. 313: Jean-Philippe Bouchaud Interview with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
Michael Covel
4.6 • 732 Ratings
🗓️ 26 January 2015
⏱️ 30 minutes
🧾️ Download transcript
Summary
My guest today is Jean-Philippe Bouchaud, a French physicist. He is co-founder and Chairman of Capital Fund Management, adjunct professor at École Normale Supérieure and co-director of the CFM-Imperial Institute of Quantitative Finance at Imperial College London.
The topic is Trend Following.
In this episode of Trend Following Radio we discuss:
- His firm's performance for 2014
- Whether trend following actually "died" prior to it's "reappearance" in 2014
- What trend following manages to exploit
- Exploiting vs. exploring
- Looking at volatility as a precursor to profit
- Volatility as a measure of risk
- Trend following as a genuine market anomaly
- The behavioral biases in play as oil has fallen fifty percent plus
- The feedback Bouchaud has received from peers on his newest paper
- Whether other strategies exploit a genuine market anomaly
- Bouchaud's philosophy on transparency and "secrets" in his work
- Why Bouchaud's work culture is not a culture of MBA's
Jump in!
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I'm MICHAEL COVEL, the host of TREND FOLLOWING RADIO, and I'm proud to have delivered 10+ million podcast listens since 2012. Investments, economics, psychology, politics, decision-making, human behavior, entrepreneurship and trend following are all passionately explored and debated on my show.
To start? I'd like to give you a great piece of advice you can use in your life and trading journey… cut your losses! You will find much more about that philosophy here: https://www.trendfollowing.com/trend/
You can watch a free video here: https://www.trendfollowing.com/video/
Can't get enough of this episode? You can choose from my thousand plus episodes here: https://www.trendfollowing.com/podcast
My social media platforms:
Twitter: @covel
Facebook: @trendfollowing
LinkedIn: @covel
Instagram: @mikecovel
Hope you enjoy my never-ending podcast conversation!
Transcript
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| 0:00.0 | This is Trend Following Radio, where great thinking comes alive. |
| 0:10.9 | Nobel Prize winners, legendary traders, bestselling authors, and the pros that know what drive us irrational human beings. |
| 0:21.2 | I am your host, Michael Covel. |
| 0:24.0 | Not filtered, raw, honest. |
| 0:27.3 | That's my passion. |
| 0:32.7 | Today in the show, I have Jean-Philippe Boucho, his second appearance. |
| 0:37.3 | Great first appearance over the summer of 2014. |
| 0:40.1 | Today, he comes on to talk about his new paper, written with several of his colleagues, |
| 0:45.8 | tail risk premium versus pure alpha. |
| 0:48.1 | There are two versions of this paper, a short version and a long version. |
| 0:52.8 | The links for both will be in the write-up for this podcast |
| 0:55.9 | episode if you want to read. |
| 0:58.8 | Now, before I jump into my interview, one quick comment. |
| 1:04.1 | Sandy Brasher forwarded me a Barron's article that looks like a date of January 23rd. |
| 1:09.8 | Can Managed Fut futures hedge funds revive? |
| 1:12.6 | Question mark. |
| 1:13.9 | Written by one Lauren C. Strauss. |
| 1:16.9 | The opening sentence, |
| 1:18.0 | Managed futures hedge funds caught fire in the second half of 2014, |
| 1:21.9 | ending a multi-year funk in which many investors had left the strategy for dead, |
| 1:27.0 | end quote. |
| 1:28.5 | Now, of course, remember, managed futures can mean any type of strategy. |
... |
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