Written on 15 October 2020.
In a podcast available at https://investresolve.com/podcasts/marat-molyboga-the-trend-is-your-friend/, Marat Molyboga, EDHEC PhD 2019, shares insights on different topics connected to his current research, such as 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 Molyboga, is Chief Risk Officer and Director of Research at Efficient Capital Management. He holds a Masters in Applied Mathematics in Moscow, an MBA in Finance from University of Chicago, a CFA, and a PhD in Finance from EDHEC Business School.
Efficient Capital Management specializes in building multi-manager investment solutions for institutional investors with a particular focus on managed futures.
Marat’s doctoral thesis entitled “Back to Basis with Investments Consultants” includes two papers that investigate return predictability across asset classes and agency issues associated with investment consultants. Marat was advised by EDHEC Professor Laurent Calvet, and Professor Ralph S.J. Koijen (Chicago Booth) served as external reviewer.
Keywords: commodity markets, risk premia, trend signals, trend strategies, portfolio construction, CTA portfolios, CTA funds