Efficient’s Multi-Manager Research
Making the case for the multi-manager approach for CTA exposure.
Managed Futures Industry Publications
There are hundreds of papers and articles making the case for how managed futures diversify investor portfolios. Even some good books.
Academic CTA Research
Deeper research studies on a variety of topics relevant to CTA investing
Book Recommendation
Your Essential Guide to Quantitative Hedge Fund Investing
By Marat Molyboga, Larry Swedroe, CRC Press (2023)
Larry Swedroe, prominent author and founder of Buckingham Asset Management, and Efficient's Dr. Molyboga provide a conceptual framework for understanding hedge fund strategies and include stories from some legendary hedge fund investors.
Finally, a comprehensive guidebook to systematic hedge fund investing that bridges the gap between the academic and the real-world.
Nikolai Roussanov
Safra Professor of Finance at Wharton
Additional Efficient Research and Publications
The Great LIBOR Exodus – Analytical Implications and SOFR Transition Challenges, Journal of Derivatives Markets, 2024, Vol. 32, No. 1 (F.J. Fabozzi, M. Molyboga, and V. Russo)
The Battle of the Factors – Macroeconomic Variables or Investor Sentiment?, Journal of Forecasting, 2023, Vol. 42, No. 8. (M. Mascio, M. Molyboga, and F.J. Fabozzi)
A Novel Approach to Denoising – Correlation Matrices with Applications to Global Portfolio Management with a Large Number of Assets, Physica Scripta, 2023, Vol. 98, No. 4 (E. Lakshatanov and M. Molyboga)
Hedge Funds: Coping with Low Interest Rates – IP&E (Going, Marat) (2021)
A Modified Hierarchical Risk Parity Framework for Portfolio Management – Journal of Financial Data Science, 2020, Vol 3., No. 2 (M. Molyboga)
Carry and Time-Series Momentum – A Match Made in Heaven, Journal of Alternative Investments, 2020, Vol. 23, No. 2. (M. Molyboga, J. Qian, and C. He)
Portfolio Management of Commodity Trading Advisors with Volatility Targeting – Journal of Investment Strategies, 2019, Vol. 8, No. 4 (M. Molyboga)
Risk Premia in Chinese Commodity Markets – Journal of Commodity Markets, 2019, Vol. 15. (C. He, C. Jiang, and M. Molyboga)
Benchmarking Commodity Investments – Journal of Futures Markets, 2018, Vol. 38, No. 3. (J. Blocher, R. Cooper, and M. Molyboga)
The Revealed Preference of Sophisticated Investors – European Financial Management, 2017, Vol. 23, No. 5. (J. Blocher and M. Molyboga)
Moral Hazard Problem in Hedge Funds – A Study of Commodity Trading Advisors, Journal of Portfolio Management, 2017, Vol. 43, No. 2. (L. Cai, C. Jiang, and M. Molyboga)
Black-Litterman, Exotic Beta and Varying Efficient Portfolios – An Integrated Approach, Journal of Investment Strategies, 2017, Vol. 6, No. 3. (R. Cooper and M. Molyboga)
A New Diagnostic Approach to Evaluating the Stability of Optimal Portfolios – Journal of Investing, 2016, Vol 25, No 1 (Z. Yang, K. Han, M. Molyboga, and G. Molyboga)
Methodology for Evaluation of Hedge Fund Decisions – Dealing with the challenges” Hedge Fund Journal (Marat, Christophe L’Ahelec) (2015)
Back to the Futures – CTAs can still deliver in spite of recent setbacks” Hedge Fund Journal (Joel) (2015)
Valuation of Flexible Insurance Contracts – Theory of Probabilities and Mathematical Statistics, 2004, No 71. (A. Melnikov, M. Molyboga, and V. Skornyakova)
Pricing of Flexible Insurance Schemes – Journal of Economics, State University-Higher School of Economics, 2003, 2,2, 139-172 (A. Menlikov and M. Molyboga)