Today’s conversation is with Marat Molyboga, Chief Risk Officer and Director of Research at Efficient Capital Management. Marat is a soviet trained mathematician who achieved his Masters in Applied Mathematics in Moscow, and holds an MBA in Finance from University of Chicago, a CFA, and a PhD in Finance from EDHEC business school. He has authored or co-authored 20 published papers.

Efficient specializes in building multi-manager investment solutions for institutional investors with a particular focus on managed futures. Marat describes the fundamental building blocks in the qualitative and quantitative framework that Efficient uses to select managers, and form and monitor portfolios over time.

In addition, we explore four papers in detail on topics like combining carry with trend, how the makeup of Chinese commodity markets impacts risk-premia for Chinese CTAs, the potential benefits of short-term trend signals, and how novel portfolio construction techniques may help investors construct more resilient portfolios of CTAs.  

Marat has a unique perspective on commodity trading advisors and listeners will learn about how institutions utilize and evaluate CTA portfolios, and specific techniques that can drive improvements in trend strategies and portfolios of CTA funds.