Tue, Mar 19, 2024
A A A
Welcome Guest
Free Trial RSS pod
Get FREE trial access to our award winning publications
Alternative Market Briefing

Efficient Capital goes all in on CTAs

Thursday, June 02, 2016

Bailey McCann, Opalesque New York:

Ernest Jaffarian, founder and CEO of Efficient Capital is a veteran of the commodities space. 1986 he joined Chicago Research & Trading Group (CRT) as a member of the proprietary trading group on the floor of the Chicago Board Options Exchange (CBOE) and rose to position of Senior Vice President for OTC Treasury Options. Immediately prior to founding Efficient, Mr. Jaffarian was responsible for the managed futures department of Hull Equity Management, LLC and for the allocation of Hull Trading Company, LLC's proprietary capital among trading advisors.

Jaffarian set up Efficient Capital based on the idea that he could create a model portfolio of CTAs that was continually rebalanced and effectively managed volatility. "If you know anything about trading you know two things are really critical - the first is real time risk management and the second is using realistic mathematical models," he explained in a recent Opalesque TV interview.

He argues that a disciplined mathematical approach is critical to creating a portfolio that manages risks effectively. In order to build such a portfolio, Jaffarian treats each CTA in the portfolio as a potential return stream and analyzes the potential of each return stream against the broader volatility and return goals of the portfolio. "We start by gathering a verifiable daily return history for each manager," he says adding that once a manager qualifies for inclusion, the due diligence proc......................

To view our full article Click here

Previous Opalesque Exclusives                                  
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. KKR raises $6.4bn for the largest pan-Asia infrastructure fund[more]

    Laxman Pai, Opalesque Asia: The New York-based global investment firm KKR has raised a record $6.4bn for its second Asia-focused infrastructure fund, underlining investors' continued appetite for private markets. According to a media release from the alternative assets manager, the figure top

  2. Bucking the trend, top hedge fund makes plans for a second SPAC[more]

    From Institutional Investor: SPACs aren't dead. At least not to the folks at Cormorant Asset Management. The life sciences firm, whose hedge fund topped its peers in 2023, is confident it will match the success of its first blank-check company. Last week, the life sciences and biopharma speciali

  3. Benefit Street Partners closes fifth fund on $4.7 billion[more]

    Bailey McCann, Opalesque New York: Benefit Street Partners has closed its fifth flagship direct lending vehicle, BSP Debt Fund V, with $4.7 billion of investable capital across the strategy. Benefit Street invests primarily in privately originated, floating rate, senior secured loans. The fun

  4. 4 hedge fund themes that are working in 2024[more]

    From The Street: A poor earnings report from Tesla (TSLA) has not hurt the indexes on Thursday. The decline in Tesla stock, which is losing its position in the Magnificent Seven pantheon, is more than offset by strong earnings from IBM (IBM) and ServiceNow (NOW) . In addition, the much higher-t

  5. Opalesque Exclusive: A global macro fund eyes opportunities in bonds[more]

    Bailey McCann, Opalesque New York for New Managers: Munich-based ThirdYear Capital rebounded in 2023, following a tough year for global macro. The firm's flagship ART Global Macro strategy finished the year up 1