Interview with Marat Molyboga of Efficient Capital Management.

The article focuses on the role and evaluation of managed futures—an alternative investment strategy primarily employing trend-following techniques—in multi-asset portfolios. Managed futures, often implemented by commodity trading advisors (CTAs), are valued for their ability to generate "crisis alpha," delivering strong returns during extended market downturns and inflationary shocks, thus serving as effective risk mitigators within Meketa’s Risk Mitigation Strategies (RMS) framework. The discussion highlights common misconceptions about managed futures’ risk profile, the importance of diversification across multiple CTAs to reduce idiosyncratic risk, and the benefits of volatility targeting and risk scaling in portfolio construction. It also addresses challenges in research and implementation, emphasizing the need for robust, multi-manager managed accounts with daily transparency to avoid performance chasing and improve crisis resilience. Looking forward, the article suggests that despite theoretical awareness of growth risk, many investors remain underprotected against equity drawdowns, underscoring the potential for broader adoption of managed futures within multi-asset strategies to enhance portfolio robustness. [Extracted from the article]