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Efficient's Books and Whitepapers

A Survey of the Managed Futures Industry is a basic introduction to the Managed Futures industry written by Ernest Jaffarian, CEO/CIO of Efficient. Major sections include a history of the industry, characteristics of Managed Futures, investment analysis, portfolio construction, explanations of different trading strategies, and structured products in Managed Futures.
The Chartered Alternative Investment Analyst (CAIA) is the leading professional designation in alternative investments. As an industry leader, Ernest Jaffarian was asked to author the Managed Futures section of the Level II curriculum, published in 2009.
Whitepaper making the case for Managed Futures and the iSTOXX/Efficient Capital index as a benchmark for the industry. The paper gives an overview of Managed Futures strategies, characteristics, portfolio benefits, and performance.

Our Recommended Reading List

Burghardt and Walls, are well respected researchers from Newedge, a leading Managed Futures Futures Clearing Merchant (FCM). They head up the research team at Newedge and give an excellent introduction to Managed Futures, from soup to nuts. They try to help investors understand the sources of returns, return distributions and other statistical characteristics of the distribution, how to structure CTA portfolios, how to access Managed Futures, how different types of CTA strategies correlate to each other and why, and the justification for the Newedge CTA Index and the Alternativeedge Short Term Trader Index (STTI), among many other topics.
Many people feel that CTAs are a "black box," and hence not able to understand why they trade as they do. Narang takes investors inside the mind of a quantitative trader who uses computers to implement his strategies. With an approachable, understandable style, Narang shows that the "black box" is just a disciplined servant obeying the will of its creator, a human being you can talk to and who can explain the system. If you want to understand how quantitative, disciplined trading works, you'll enjoy this book.

About Efficient

Efficient Capital Management was founded in 1999 by leading futures industry professionals from some of the world's most successful trading firms with the common goal of establishing an innovative multi-manager CTA portfolio investment firm.

Our experienced team of professionals is dedicated to serving our clients in achieving their desired exposure to Managed Futures.

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Efficient Capital Management

4355 Weaver Parkway
Warrenville, IL 60555
United States of America

Direct: +1 630 657 6800
Fax: +1 630 657 6686

Information on this website is intended for use only by persons and entities that are "Qualified Eligible Persons" as defined in the Commodity Futures Trading Commision Regulation 4.7. Past results are not necessarily indicative of future results. Futures and options trading is extremely speculative and highly risky and is not suitable for all investors. There can be no assurance that an account or fund will earn any profits at all or will be able to avoid incurring substantial losses, including the entire loss of the investment.

This website is for informational purposes only and is not an offer to sell; a salutation of an offer to buy or a recommendation to buy any security. An investment is offered only on the basis of the appropriate Private Placement Memorandum and other offering documentation and in accordance with all applicable laws. This website does not describe all the various risks associated with investing in managed futures or foreign currency exchange, a list of which is in our fund offering documents and our completed due diligence questionnaires. We can provide these documents, or the list, to you upon request.

Pursuant to an exemption from the Commodities Futures Trading Commission in connection with accounts of qualified eligible persons, this document is not required to be, and has not been, filed with the commission. The Commodities Futures Trading Commission does not pass upon the merits of participating in a trading program or upon the adequacy or accuracy of commodity futures trading advisor disclosure. Consequently, the Commodities Futures Trading Commission has not reviewed or approved this trading program or any of the information on this website. Nothing contained in this website constitutes investment, legal or tax advice.

The Efficient logo, Efficient Capital® and Efficient Capital Management® are registered trademarks of Efficient Capital Management, LLC.