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
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