Marat Molyboga

Efficient Capital Management, LLC

Chief Risk Officer, Director of Research

4355 Weaver Parkway

Warrenville, IL 60555

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 34,688

SSRN RANKINGS

Top 34,688

in Total Papers Downloads

1,989

SSRN CITATIONS

4

CROSSREF CITATIONS

8

Scholarly Papers (17)

1.

Benchmarking Commodity Investments

Journal of Futures Markets, Forthcoming
Number of pages: 44 Posted: 09 Mar 2016 Last Revised: 11 Sep 2017
Jesse Blocher, Ricky Cooper and Marat Molyboga
Vanderbilt University - Finance, Illinois Institute of Technology - Stuart School of Business, IIT and Efficient Capital Management, LLC
Downloads 1,058 (29,297)
Citation 1

Abstract:

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commodity investments, risk premia, smart beta, exchange traded funds

2.

Portfolio Management of Commodity Trading Advisors with Volatility Targeting

Journal of Investment Strategies (Forthcoming)
Number of pages: 28 Posted: 24 Feb 2018 Last Revised: 24 Oct 2019
Marat Molyboga
Efficient Capital Management, LLC
Downloads 347 (120,804)

Abstract:

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Volatility targeting, portfolio management, CTAs

3.

Risk Premia in Chinese Commodity Markets

Journal of Commodity Markets, Forthcoming
Number of pages: 30 Posted: 18 Aug 2016 Last Revised: 03 Oct 2018
Chaohua He, Cheng Jiang and Marat Molyboga
Illinois Institute of Technology, Illinois Institute of Technology, Stuart School of Business, Students and Efficient Capital Management, LLC
Downloads 233 (181,440)

Abstract:

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Risk premia, commodity markets, momentum, carry, Chinese markets

4.

Back to Basis: A Universal Return Predictor Across Asset Classes

Number of pages: 64 Posted: 30 Oct 2020
Marat Molyboga
Efficient Capital Management, LLC
Downloads 153 (262,941)

Abstract:

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return predictability, basis, futures markets

5.
Downloads 127 (303,952)
Citation 5

The Revealed Preference of Sophisticated Investors

European Financial Management, Forthcoming, Vanderbilt Owen Graduate School of Management Research Paper No. 2844903
Number of pages: 46 Posted: 29 Sep 2016 Last Revised: 10 Jul 2017
Jesse Blocher and Marat Molyboga
Vanderbilt University - Finance and Efficient Capital Management, LLC
Downloads 121 (316,481)

Abstract:

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Benchmarks, Capital Asset Pricing Model, Hedge Funds

The Revealed Preference of Sophisticated Investors

European Financial Management, Vol. 23, Issue 5, pp. 839-872, 2017
Number of pages: 34 Posted: 05 Nov 2017
Jesse Blocher and Marat Molyboga
Vanderbilt University - Finance and Efficient Capital Management, LLC
Downloads 6 (849,547)
Citation 1

Abstract:

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investor preferences, benchmarks, capital asset pricing model, return predictability

6.

Risk Shifting or Just Risk-Adjusted Returns

Number of pages: 43 Posted: 30 Jun 2016
Jesse Blocher, Cheng Jiang and Marat Molyboga
Vanderbilt University - Finance, Illinois Institute of Technology, Stuart School of Business, Students and Efficient Capital Management, LLC
Downloads 50 (519,172)
Citation 1

Abstract:

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risk shifting, hedge funds, commodity trading advisors, sharpe ratios

7.

Valuation of Flexible Insurance Contracts

Theory of Probabilities and Mathematical Statistics, 2004, 71, pp. 155-161
Number of pages: 7 Posted: 06 Oct 2015
Alexander Melnikov, Marat Molyboga and V. Skornyakova
University of Alberta - Department of Mathematical and Statistical Sciences, Efficient Capital Management, LLC and Independent
Downloads 21 (685,855)

Abstract:

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equity-linked insurance, stochastic volatility

8.

A Modified Hierarchical Risk Parity Framework for Portfolio Management

Journal of Financial Data Science, Forthcoming
Posted: 28 May 2020
Marat Molyboga
Efficient Capital Management, LLC

Abstract:

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portfolio management, machine learning, hierarchical risk parity

9.

Short-Term Trend: A Jewel Hidden in Daily Returns

Journal of Portfolio Management, Forthcoming
Posted: 17 Mar 2020
Marat Molyboga, Larry E Swedroe and Junkai Qian
Efficient Capital Management, LLC, affiliation not provided to SSRN and Illinois Institute of Technology, Stuart School of Business

Abstract:

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time-series momentum, futures markets, trend following, short-term momentum

10.

Carry and Time-Series Momentum: A Match Made in Heaven

Journal of Alternative Investments (Forthcoming)
Posted: 10 Nov 2019
Marat Molyboga, Junkai Qian and Chaohua He
Efficient Capital Management, LLC, Illinois Institute of Technology, Stuart School of Business and Illinois Institute of Technology

Abstract:

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carry, time-series momentum, basis

11.

Black-Litterman, Exotic Beta, and Varying Efficient Portfolios: An Integrated Approach

Journal of Investment Strategies (2017), 6(3), pp. 13-30.
Posted: 20 Jan 2017 Last Revised: 17 Mar 2020
Ricky Cooper and Marat Molyboga
Illinois Institute of Technology - Stuart School of Business, IIT and Efficient Capital Management, LLC

Abstract:

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Black-Litterman, exotic betas, risk parity

12.

The Moral Hazard Problem in Hedge Funds: A Study of Commodity Trading Advisors.

Journal of Portfolio Management (2017), 43(2), pp. 77-89
Posted: 05 Mar 2016 Last Revised: 04 Feb 2017
Li Cai, Cheng Jiang and Marat Molyboga
Illinois Institute of Technology - Stuart School of Business, IIT, Illinois Institute of Technology, Stuart School of Business, Students and Efficient Capital Management, LLC

Abstract:

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risk-shifting, hedge funds, Commodity Trading Advisors

13.

Portfolio Management with Drawdown-Based Measures

Journal of Alternative Investments (2017), Vol 19(3), pp. 75-89
Posted: 10 Feb 2016 Last Revised: 06 Jan 2017
Marat Molyboga and Christophe L'Ahelec
Efficient Capital Management, LLC and Ontario Teachers' Pension Plan (OTPP)

Abstract:

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14.

A Simulation-Based Methodology for Evaluating Hedge Fund Investments

Journal of Asset Management, 2016, Volume 17, No 6, pp. 434-452.
Posted: 26 Jul 2015 Last Revised: 08 Nov 2016
Marat Molyboga and Christophe L'Ahelec
Efficient Capital Management, LLC and Ontario Teachers' Pension Plan (OTPP)

Abstract:

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large-scale simulation framework, hedge funds, optimal portfolios, risk parity, risk-based allocations

15.

Assessing Hedge Fund Performance with Institutional Constraints

Journal of Asset Management, Forthcoming
Posted: 30 Mar 2014 Last Revised: 26 Jun 2017
Marat Molyboga, Seungho Baek and John F. O. Bilson
Efficient Capital Management, LLC, City University of New York (CUNY) - Department of Finance and Illinois Institute of Technology

Abstract:

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Hedge Funds, Commodity Trading Advisors, Performance Persistence, Institutional Investment

16.

A New Diagnostic Approach to Evaluating the Stability of Optimal Portfolios

Journal of Investing, Spring 2016, Vol. 25, No. 1: pp. 37-45
Posted: 15 Mar 2014 Last Revised: 02 Mar 2016
Zhongjin Yang, Keli Han, Marat Molyboga and Georgiy Molyboga
Efficient Capital Management, LLC, Blackthorne Enterprise Network, Efficient Capital Management, LLC and Kiev University

Abstract:

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mean-variance optimization, portfolio construction, sensitivity analysis, condition number, shrinkage estimators

17.

CTA Performance Persistence: 1994-2010

Journal of Alternative Investments, Spring 2014, Vol 16, No 4.
Posted: 06 Mar 2013 Last Revised: 28 Mar 2014
Marat Molyboga, Seungho Baek and John F. O. Bilson
Efficient Capital Management, LLC, City University of New York (CUNY) - Department of Finance and Illinois Institute of Technology

Abstract:

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Hedge Funds, CTA, Fama-MacBeth Regression