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.
Dr. Molyboga is the Chief Risk Officer and Director of Research at Efficient, and helps shape strategic priorities as a member of the Leadership Team.
He began his career at Efficient in 2001 as a Research Analyst. From 2002, he consulted for Petra Intraday Trading Systems as the Senior Researcher and served as its president from 2004. He left Petra in 2006 and joined the Research Department at Efficient as a Senior Research Analyst. His expertise is in CTA performance evaluation and portfolio construction.
Mr. Molyboga is also an expert in portfolio risk management and serves as the Chief Risk Officer for the firm, while also overseeing the work of the Research Team. Dr. Molyboga is a Financial Risk Manager designee (FRM), a Chartered Financial Analyst (CFA), and holds a Series 3 license.
He graduated with high honors from Moscow State University in 2001 with a Masters in Financial Mathematics. He also graduated with honors from the University of Chicago’s Booth School of Business in 2013 with an MBA in Finance, Economics and Strategic Management. He earned a PhD in Finance from EDHEC Business School in 2019. Dr. Molyboga has been in the industry since 2001.