Innovation in Managed Futures with Marat Molyboga at Efficient Capital Management

Dr. Marat Molyboga has been working on quantitative portfolio management and risk management of multi-CTA portfolios for two decades now. Marat enjoys collaborating with academics and industry thought leaders on research papers that help institutional investors make better investment decisions.

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“I grew up in Ukraine and went to school in Moscow where I got my degree in Applied Mathematics. I joined Efficient as a research intern in August 2001. At first, I found myself confused about futures markets… it sounds crazy; when you sell a contract that you don't have, or you can buy a contract for a small fraction of its market value. It took me a couple of months to wrap my head around those pretty simple concepts. Then, during the first year I worked on manager selection and portfolio construction, I quickly discovered that most academic approaches just did not work. So, I had to innovate and develop my own techniques that did work, but it took a while.

Efficient was growing quickly and I joined its research team and over the years I got involved in risk management and earned my PhD in finance. I'm responsible for all aspects of quantitative portfolio management research and risk management.

I love talking about innovation because it's so important for us. For over 20 years, we have been specialized in building customizable manager solutions for institutional investors, and it requires a lot of innovation. So when we think about innovation, we think about managers, selection, portfolio construction, and even fees.”

Marat Molyboga, Chief Risk Officer & Director of Research

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