Trend Following With Michael Covel

Andrew Lo is author of “Adaptive Markets: Financial Evolution at the Speed of Thought.” He is also the Charles E. and Susan T. Harris Professor of Finance at MIT and the chairman and chief investment strategist of the AlphaSimplex Group. Andrew was taught from the beginning of his career that the efficient market hypothesis was gospel truth. It was the end-all-be-all. However, he first found a problem with the efficient market hypothesis just after graduating college. He did a test on the “random walk hypothesis” and related his findings from that hypothesis to the markets. He then came to find that his results proved the efficient market hypothesis wrong. Was there pushback during the early stages of talking about EMT being wrong? Absolutely. Andrew was one of the strongest that pushed back primarily because it went against everything he previously knew to be true. Andrew talks about another study he did with one of his MIT classes in 2004. He looked at hedge funds around that time and through data he prov