And in an interview with Bloomberg, Burry doesn't disappoint. At one point, he shares his skepticism about passive investing, and the flood of money that has poured into index funds since the financial crisis. Burry sees similarities between these funds and the CDOs that nearly brought down the financial system in the run-up to the crisis.

Burry, who made a fortune betting against the CDOs, argued that these passive flows are distorting prices for stocks and bonds in much the same way that CDOs did for subprime mortgages. Eventually, the flows will reverse at some point, and when they do, "it will be ugly."

"Like most bubbles, the longer it goes on, the worse the crash will be," Burry, who oversees about $340 million AUM at Scion Asset Management in Cupertino, said.

That's one reason he likes small-cap value stocks: they tend to be underrepresented in index funds, or left out entirely.

Here's what Burry had to say on a number of topics: