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00:51
Schooling as Floor Trader and quick career to lead market maker. The role of risk management and mathematical models in options trading. Does “trader talent” exist?. A sound profit center: Creating a virtual proprietary trading desk. The “discovery” of the CTA industry. The attractiveness of mathematically created portfolios.
04:45
Two Early Influences on Jaffarian. • Harvard Professor Dr John Lintner’s seminal 1983 paper still true: “The combined portfolios of stocks after including judicious investments in managed futures accounts show substantially less risk, at every possible level of expected return, than portfolios of stocks (or stocks and bonds) alone.”. • Meeting Peter Bernstein (“Capital Ideas”): Can portfolios be best built, managed, maximised and optimised with Managed Futures?.
06:59
Pioneering daily transparency: Quantity of data determines the quality of models. How Efficient Capital researches and selects CTA managers. What’s the degree of diversification CTAs offer?.
09:37
Why Jaffarian considers his firm a trading firm, not a multi manager. Change from having a single product to being a solution provider.
11:15
Why every institutional portfolio needs exposure to managed futures. Daily data from CTAs much more useful than monthlies from hedge funds…… and allows for better risk management.
12:41
Why is it, if Lintner already in 1983 made such a persuasive case for managed futures, that they are not wider adopted?. The five most common mistakes investors do when investing in CTAs. A roadmap to successful investing in managed futures.
16:56
Why Efficient Capital remains 100% dedicated to CTAs. Why you shouldn’t run CTAs “like a hedge fund portfolio”. Driven by the right values.
19:15
How have managed futures evolved since 1993?. Jaffarian’s “dream has been happening” as institutions are carving out CTA allocations and understand the differences to hedge funds. More vehicles to access managed futures. CTA industry in its healthiest state.

Ernest Jaffarian: Why every institutional portfolio needs exposure to managed futures

May 20 2016 1 Comment
Ernest Jaffarian is a 30 years veteran within the alternative investment industry. He started his career as a floor trader in 1986 and quickly become a lead market maker. In 1993 he co-founded a CTA and in 1999 he set up Efficient Capital Management, a pioneer in the Managed Futures space.

Thirty years ago Ernest believed the day would come when institutional investors would consider managed futures allocations to be normal and prudent. Today, Jaffarian is encouraged that the dream is beginning to happen and the CTA industry is in th ...more

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