Marat Molyboga is the Chief Risk Officer and Director of Research at Efficient Capital Management, LLC, and a member of the Executive Committee. He is also an Adjunct Professor of Finance at the Illinois Institute of Technology Stuart School of Business. Mr. Molyboga began his career at Efficient in 2001 as a Research Analyst. From 2002, he consulted for Petra Intraday Trading Systems as the Senior Researcher and served as its president from 2004. He left Petra in 2006 and joined the Research Department at Efficient as a Senior Research Analyst. His expertise is in CTA performance evaluation and portfolio construction. Mr. Molyboga is also an expert in portfolio risk management and serves as the Chief Risk Officer for the firm, while also overseeing the work of the Research Team. Mr. Molyboga is a Financial Risk Manager designee (FRM), a Chartered Financial Analyst (CFA), and holds a Series 3 license. He graduated with high honors from Moscow State University in 2001 with a Masters in Financial Mathematics. He also graduated with honors from the University of Chicago’s Booth School of Business in 2013 with an MBA in Finance, Economics and Strategic Management.
We introduce a large scale simulation framework on a dataset that contains 3,777 funds for 1994-2012 to quantitatively evaluate CTA selection and portfolio construction approaches using real-life constraints and appropriately accounting for biases in the data. We suggest breaking funds into three groups by correlation to the CTA benchmark and ranking funds within the groups using the t-statistic of alpha with respect to the benchmark. We find that grouping funds and excluding worst performers in each group consistently improves risk-adjusted returns. Results are statistically significant and robust across market environments and portfolio construction approaches.