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  • Manager: Millburn Ridgefield Corp
    Program: Millburn Diversified Program


    Principal(s): Harvey Beker, Gregg Buckbinder, George Crapple, Mark Fitzsimmons, Barry Goodman, Dennis Newton & Grant Smith
    Strategy: Systematic Trend-Follower
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Recent Statistics
  • Feb Return: 2.72%
  • YTD Return: 2.33%
  • Annual CROR:1 14.81 %
  • Worst DD:2 -25.65%
  • Losing Streak:3 -1.33 %
  • Sharpe Ratio:4 0.81
  • Min Investment: $25,000,000
  • AUM:5 $2,012,000,000
  • Calmar Ratio:6 N/A
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.

Accounting Notes: For performance prior to 1990 please refer to the lastest Millburn Disclosure Document.

MDP, represents the pro forma performance of a fully-funded account traded pursuant to the Program during the period presented. The historical performance of the Program has been retroactively adjusted on a pro forma basis to reflect the cost/fee structure generally charged in connection with managed accounts trading the Program. The purpose of this pro forma presentation is to provide an approximation of the rates of return such accounts would have achieved had they been traded pursuant to this cost/fee structure. However, there are material limitations inherent in pro forma comparisons.

The pro forma calculations were made on a month-to-month basis. That is, the adjustments to fees and income in one month do not affect the actual figures used in the following month for making similar pro forma calculations. The following assumptions were made in calculating the pro forma rates of return: 0.35% pro forma transaction costs incurred by the accounts trading the applicable program; a monthly management fee of 0.167% (a 2% annual rate); an annual profit share of 20%; estimated operating and administrative expenses of 0.25% per annum; and actual interest income earned by the accounts trading the Program. An individual account may have realized more or less favorable results than this performance indicates, depending on the date of investment. Performance results may be estimates, subject to final verification.


  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
  • Trading Style
    62% Trend Following
    38% Other Including Event & Rel Value
  • Market Allocation

  • Holding Period
    55% Long Term
    16% Medium Term
    14% Short Term
  • Sector
    Global
    Contracts
    Futures

Performance Since February 1977

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 -0.38% 2.72%   2.33% -0.38%
2016 4.71% 2.85% -0.01% -2.13% 1.14% 6.33% 1.11% -1.29% 1.02% -2.69% -0.88% -0.88% 1.14% 10.5% -4.67%
2015 1.50% 0.35% 3.86% -2.98% -0.89% -3.08% 5.43% -3.17% 3.30% -2.20% 3.46% 0.35% 5.57% -6.81%
2014 -2.44% 4.41% -0.09% 3.13% 3.21% 2.17% -0.99% 3.07% 0.67% 2.75% 1.94% -1.15% 17.72% -2.44%
2013 1.49% -0.80% 1.87% 2.57% -8.06% -3.49% 0.08% -2.32% 1.15% 2.31% 0.92% -1.38% -6.02% -13.26%
2012 -2.42% -1.47% -2.82% 1.44% 2.35% -3.41% 4.37% -1.89% -2.32% -2.04% 1.49% 1.42% -5.49% -8.19%

Years197719781979198019811982
ROR12.88%29.93%66.36%72.73%47.03%37.27%
Max DD-9.81%-14.93%-1.59%-2.30%-7.69%-8.24%

Years198319841985198619871988
ROR-0.95%28.01%29.86%-8.71%41.49%7.64%
Max DD-7.00%-9.93%-13.26%-25.37%-10.24%-10.82%

Years198919901991199219931994
ROR3.34%50.14%8.01%18.54%11.92%11.54%
Max DD-25.65%-5.21%-9.58%-9.97%-7.06%-9.26%

Years199519961997199819992000
ROR30.11%18.82%14.73%8.21%0.20%14.20%
Max DD-2.93%-10.58%-7.75%-8.26%-12.30%-11.98%

Years200120022003200420052006
ROR-4.07%24.80%3.85%-0.57%6.04%9.06%
Max DD-13.03%-10.22%-9.73%-21.13%-10.50%-10.71%

Years200720082009201020112012
ROR14.26%22.16%-7.56%12.43%-6.39%-5.49%
Max DD-13.45%-6.97%-14.81%-9.53%-11.03%-8.19%

Years20132014201520162017 YTD
ROR-6.02%17.72%5.57%10.50%2.33%
Max DD-13.26%-2.44%-6.81%-4.67%-0.38%


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

Program Information
  • Start Date: Feb-1997
  • New Money: Yes
  • Min Investment: $25,000,000
  • Fund Minimum: $10,000
  • Notional Funds: No
  • NFA Member: Yes
  • NFA Number: 0000119
  • Currency: US Dollars
  • AUM:5 $2,012,000,000
  • Annual CROR:1 : 14.81%
  • Worst Drawdown:2 -25.65 %
  • Losing Streak:3 -1.33 %
  • Sharpe Ratio:4 0.81
  • Calmar Ratio:6 N/A
  • Margin:7: 25%
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: brokerage execution commissions incurred
  • Avg Comm:8 12
  • Max Comm:9:
  • Round Turns:10 1,000
Additional Information
  • Other Memberships: MFA
  • Correlations:
  • Track Record Prepared By: internally

    Accounting Notes: For performance prior to 1990 please refer to the lastest Millburn Disclosure Document.

    MDP, represents the pro forma performance of a fully-funded account traded pursuant to the Program during the period presented. The historical performance of the Program has been retroactively adjusted on a pro forma basis to reflect the cost/fee structure generally charged in connection with managed accounts trading the Program. The purpose of this pro forma presentation is to provide an approximation of the rates of return such accounts would have achieved had they been traded pursuant to this cost/fee structure. However, there are material limitations inherent in pro forma comparisons.

    The pro forma calculations were made on a month-to-month basis. That is, the adjustments to fees and income in one month do not affect the actual figures used in the following month for making similar pro forma calculations. The following assumptions were made in calculating the pro forma rates of return: 0.35% pro forma transaction costs incurred by the accounts trading the applicable program; a monthly management fee of 0.167% (a 2% annual rate); an annual profit share of 20%; estimated operating and administrative expenses of 0.25% per annum; and actual interest income earned by the accounts trading the Program. An individual account may have realized more or less favorable results than this performance indicates, depending on the date of investment. Performance results may be estimates, subject to final verification.

  • Chart
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  • * 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.