Millburn's currency and futures trading methodology is quantitative and systematic. After observing market behavior and analyzing market relationships, the Investment Committee and Research Staff engineer approaches for investing in global markets that are logical, disciplined and unemotional in application. Computerized trading systems then generate signals which are implemented by Millburn's professional 24-hour trading staff. All trading systems utilized by Millburn have been created at the firm, where research efforts are facilitated by an extensive
Trading and risk management in each market is controlled by a multi-tiered set of systems. The first stage involves the selection and combination of medium-to long-term directional models. These models are designed to detect changes in trends over different time-frames. The next element of Millburn's trading methodology is the historical volatility overlay. This overlay adjusts the size, but not the direction, of each position. The goal of the historical volatility overlay is to keep overall portfolio risk and risk in each market in the designed range.
Once chosen, these systems work together to signal which markets to trade, how large a position to take, and whether to be long or short the instrument in question. After systems are chosen for use in each market, portfolios of markets are constructed with market allocations determined by analyzing historical profitability, liquidity, and desired degrees of concentration and diversification. Also, risk parameters are reviewed to determine the maximum gearing to be allowed in each portfolio.