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  • Manager: Millburn Ridgefield Corp
    Program: Millburn Multi-Markets Program


    Principal(s): Harvey Beker, George Crapple, Grant Smith, Barry Goodman, Gregg Buckbinder, Mark Fitzsimmons, Dennis Newton
    Strategy: Diversified Trend & Pattern Recognition
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    Investment Restrictions: Qualified Eligible Persons++
Recent Statistics
  • Apr Return: 1.29%
  • YTD Return: 4.33%
  • Annual CROR:1 7.50 %
  • Worst DD:2 -23.80%
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 0.59
  • Min Investment: $25,000,000
  • AUM:5 $503,000,000
  • Calmar Ratio:6 1.68
MMM trades a diversified portfolio of over 100 currency, interest rate, stock index, energy, metal and agricultural commodity futures, forward contracts and options on U.S. and international exchanges and in the interbank currency market. Positions in the instruments traded may be either long or short, providing opportunities in both rising and falling markets. Trading decisions are made pursuant to the quantitative systematic trading methods of Millburn Ridgefield Corporation (“Millburn”), the General Partner. This approach combines trend following & short-term pattern recognition systems, and continuously utilizes new models and adjustments developed by Millburn's research department. These newer models may be introduced more quickly and may have higher weightings in MMM than is the case with Millburn's other programs.

  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
    Trend Following
    Fundamental
    Pattern Recognition
    Relative Value
    Event
  • Trading Style
    61% Trend Following
    39% Other Including Event & Rel Value
  • Market Allocation
    Diversified
  • Holding Period
    61% Long Term
    9% Medium Term
    23% Short Term
    14% Intraday
  • Sector
    Global
    Contracts
    Futures
    Forex

Performance Since October 2004

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 -0.41% 2.44% 0.96% 1.29%   4.33% -0.41%
2016 4.71% 3.05% -0.06% -2.13% 1.13% 6.69% 1.25% -1.37% 1.24% -2.79% -0.68% 1.23% 12.52% -3.59%
2015 1.42% 0.52% 4.15% -3.15% -0.91% -2.96% 5.51% -3.11% 3.45% -2.83% 3.97% 0.58% 6.26% -6.87%
2014 -2.45% 4.65% -0.04% 3.34% 2.77% 1.91% -0.63% 3.08% 0.71% 2.25% 1.79% -0.98% 17.42% -2.45%
2013 2.16% -1.43% 1.43% 2.12% -7.90% -2.97% -0.34% -2.37% 1.22% 2.34% 0.90% -1.48% -6.61% -13.05%
2012 -3.08% -1.84% -2.63% 1.46% 1.69% -3.70% 4.67% -2.48% -2.33% -2.70% 1.26% 1.30% -8.44% -10.74%

Years200420052006200720082009
ROR8.24%9.05%12.33%13.23%30.96%-2.04%
Max DD0.00%-8.53%-11.07%-13.29%-7.15%-12.68%

Years201020112012201320142015
ROR7.50%-4.18%-8.44%-6.61%17.42%6.26%
Max DD-10.52%-10.33%-10.74%-13.05%-2.45%-6.87%

Years20162017 YTD
ROR12.52%4.33%
Max DD-3.59%-0.41%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Program Information
  • Start Date: Oct-2004
  • New Money: Yes
  • Min Investment: $25,000,000
  • Fund Minimum: $100,000
  • Notional Funds: No
  • NFA Member: Yes
  • NFA Number: 0000119
  • Currency: US Dollars
  • AUM:5 $503,000,000
  • Annual CROR:1 : 7.50%
  • Worst Drawdown:2 -23.80 %
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 0.59
  • Calmar Ratio:6 1.68
  • Margin:7: 25%
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: 0.25% admin
  • Avg Comm:8 .50%
  • Max Comm:9:
  • Round Turns:10 800
Additional Information
  • Other Memberships: MFA
  • Correlations: AG CTA Index: 0.716 | AG Systematic CTA Index: 0.745 |
  • Track Record Prepared By: Arthur Bell & Assoc.

  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

    THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.