Dr. Molyboga is the Chief Risk Officer and Director of Research at Efficient Capital Management, and helps shape strategic priorities as a member of the Leadership Team. He began his career at Efficient in 2001 as a Research Analyst. His expertise is in CTA performance evaluation and portfolio construction. Dr. 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. Dr. Molyboga is a Chartered Financial Analyst (CFA). 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. He earned a PhD in Finance from EDHEC Business School in 2019. Dr. Molyboga is an Adjunct professor at the Illinois Institute of Technology Stuart School of Business where he teaches Quantitative Investment Strategies. He has appeared in many journals such as the Journal of Portfolio Management, Journal of Alternative Investments, Journal of Futures Markets, Journal of Investment Strategies, etc. He is passionate about academic research with practical applications to investors.
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…