Glass building

Diversified Global

Diversified global programs are intended to capture movements in approximately 100 futures and currency instruments around the world.

MILLBURN DIVERSIFIED PROGRAM ("MDP") Inception: February 1977*

MILLBURN MULTI-MARKETS PROGRAM ("MULTI-MARKETS") Inception: October 2004

Millburn's diversified global programs invest systematically across a diversified portfolio, using strategies intended to capture movements in approximately 100 global futures and currency instruments. These programs seek to identify opportunities in both rising and falling market environments through the use of a systematic and risk-managed investment approach that extracts information from a variety of quantitative data sources.

Strategy:

  • Quantitative, systematic, data-driven
    • 100% multi-feature statistical/machine learning forecast engine
    • Scores of quantitative inputs are available to the models
  • Long/Short
  • Integrated risk management

Key Features

  • Historically Diversifying: historically have produced low/near-zero correlations to traditional equity and bond indices, and to other hedge fund strategies
  • Global Access: trades approximately 100 markets across Equity, Fixed Income, Currency and Commodity sectors

  • Liquid Portfolio: All assets are Level I or Level II

  • Data-driven: models are built as a result of analyzing vast amounts of historical data, as opposed to a hypothesis-testing process
  • Adaptive: models are intended to adjust over time to changes in markets, without human intervention
  • Nimble: typical time for a signal to move between long and short is expected to be approximately 22 days
Warehouse

Commodity Focus

Millburn’s Commodity and Resource-focused strategies invest in a subset of the available instrument universe, to meet more specific investor needs or requirements.

MILLBURN RESOURCE OPPORTUNITIES PROGRAM (“ResOP”) / Inception: June 7, 2021

Millburn Resource Opportunities Program builds upon Millburn’s 50-year history of quantitative, risk-managed commodity investing. Elements of the firm’s Commodity Program and China Futures Program anchor ResOP, and additional exposures position the strategy to potentially benefit from disruptive, “next generation” opportunities now and in the future.

Strategy:

  • Quantitative, systematic, data-driven
    • Relies on multi-feature statistical/machine learning forecast engine
    • Scores of quantitative inputs are available to the models
  • Long/Short
  • Integrated risk management

Key Features

  • Global Access: trades approximately 100 instruments
  • Liquid Portfolio: All assets are Level I or Level II
  • Opportunistic: potential to profit during periods of stress for equity markets
  • Data-driven: majority of models are built as a result of analyzing vast amounts of historical data, as opposed to a hypothesis-testing process
  • Adaptive: majority of models are intended to adjust over time to changes in markets, without human intervention
  • Nimble: typical time for a signal to move between long and short is expected to be approximately 22 days
  • Expectations are for the strategy to produce low/near-zero correlations to traditional equity and bond indices, and to other hedge fund strategies

 

MILLBURN COMMODITY PROGRAM / Inception: March 2005 / Soft Closed

Millburn Commodity Program is a commodity-oriented portfolio intended to systematically capture movements in approximately 65 physical commodities in global Energy, Metal, Grain, Lumber, Livestock and Soft commodity sectors. 

This program seeks to identify opportunities in both rising and falling market environments through the use of the same systematic and risk-managed approach as that used by other Millburn long/short strategies, with the goal of extracting information from a variety of quantitative data sources. Specific investment strategies used include those utilized in our global diversified programs, but also strategies unique to the instruments traded within these particular portfolios.

Strategy:

  • Quantitative, systematic, data-driven
    • 100% multi-feature statistical/machine learning forecast engine
    • Scores of quantitative inputs are available to the models
  • Long/Short
  • Integrated risk management

Key Features

  • Historically Diversifying: historically has produced low/near-zero correlations to traditional equity and bond indices, and to other hedge fund strategies
  • Global: trades approximately 65 commodity and commodity spread markets
  • Liquid Portfolio: All assets are Level I
  • Opportunistic: historically strong returns during periods of stress for equity markets
  • Data-driven: models are built as a result of analyzing vast amounts of historical data, as opposed to a hypothesis-testing process
  • Adaptive: models are intended to adjust over time to changes in markets, without human intervention
  • Nimble: typical time for a signal to move between long and short is expected to be approximately 22 days
Chinese dragon

China Focus

Millburn collaborates on research into a systematic process to invest in local Chinese financial and commodity futures markets, through a joint-venture in Shanghai, China**.

CHINA FUTURES PROGRAM / Inception: August 19, 2013**

China Futures Program is a China-focused strategy intended to systematically capture movements in a diverse set of liquid financial and physical commodity futures in sectors such as Equities, Fixed Income, Energy, Metals, Grains, Plastics, Glass and Soft Commodities. 

The China Futures Program aims to identify opportunities in both rising and falling market environments primarily through the use of a multi-feature, systematic and risk-managed approach, with the goal of extracting information from a variety of quantitative data sources.

Strategy:

  • Quantitative, systematic, data-driven
    • Relies on multi-feature statistical/machine learning forecast engine
    • Many quantitative inputs available to the models
  • Long/Short
  • Integrated risk management

Key Features

  • Region-Specific: trades approximately 50 Chinese futures markets
  • Historically Diversifying: since inception has produced low/near-zero correlations to Chinese equity and bond indices
  • Data-driven: majority of models are built as a result of analyzing vast amounts of historical data, as opposed to a hypothesis-testing process
  • Adaptive: majority of models are intended to adjust over time to changes in markets, without human intervention
  • Nimble: typical time for a signal to move between long and short is expected to be approximately 14 days

 

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*Millburn Diversified Program began trading in February 1977. Millburn believes it represents one of the longest continuously operating managed futures programs in the world. Source for comparative length of track record: Millburn, based on data compiled from eVestment and Newedge Group.

** China Futures Program is implemented through Shanghai Quadrant Asset Management Co., Ltd., a joint venture entity based in Shanghai, China. The inception of the strategy was August 19, 2013. The strategy has been running under a private security fund structure available only to Chinese investors since April 20, 2016.

Copyright © 2024 Millburn Ridgefield Corporation. Millburn Ridgefield Corporation is the successor to an asset management organization that began its operations in 1971. The term “Millburn” is used herein to refer to the activities of Millburn Ridgefield Corporation, its predecessors and its affiliated entities, except as indicated otherwise by the context.   

Terms and Conditions.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE POTENTIAL FOR PROFIT IS ACCOMPANIED BY THE RISK OF LOSS.

The information contained herein is intended for use by sophisticated investors who may be interested in opening a separately managed account. Prospective managed account clients must be "qualified eligible persons" within the meaning of CFTC Rule 4.7. Commodity interest accounts are illiquid, speculative, employ significant leverage, are not suitable for all investors and involve a high degree of risk. Commodity interest accounts may involve high fees. There can be no assurance that an investment program will achieve its objectives. This information is not a solicitation for investment. Such an investment may only be made on the basis of information provided and representations made in the appropriate written disclosure document and a related managed account agreement. Unless otherwise noted, information is current as of September 1, 2023. Important disclosures.