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blends_milcom_with_longonly

A Systematic Long/Short Commodity Solution

Millburn Ridgefield Corporation is the successor to an asset management organization that first began its operations in 1971. Millburn created a systematic long/short strategy (“MILCOM” or the “Strategy”)¹ more than 10 years ago.

Trading more than 45 liquid, regulated commodity instruments in the Strategy, Millburn evaluates scores of different data streams in real time, taking long positions in environments where its models expect prices to rise, and reversing to take short positions when these same models anticipate falling prices. As simple as this may sound in concept, the mechanics flow out of years of extensive research, the implementation of advanced statistical and risk management techniques, and deep market experience.

Since its inception more than 10 years ago, MILCOM has provided investors with net annualized returns of +7.8% with near-zero correlation to traditional stock and bond investments. MILCOM returned more than +28% (net) in 2014 and more than +25% in 2015 (net).


How Would a MILCOM Investment Have Improved a Long-Only Commodities Portfolio?

For investors holding one or more of the commodity-focused instruments below over the last 12-, 24- and 36-month periods, a simple replacement of 25% or 50% of the allocation to each with an allocation to Millburn Commodity Program would have, in every case, significantly improved returns and significantly reduced losses, helping preserve client capital while maintaining valuable portfolio diversification and potential inflation protection benefits.

See notes at the bottom of this page for a discussion of hypothetical blends.


Improved Returns by 79%...

...on average, with a 50/50 allocation to long-only ("LO") and MILCOM

Annualized Return (Last 3 Years) (%)

Instead of a 100% allocation to long-only commodities*, a 50/50 split between long-only commodities and MILCOM would have, on average, reduced losses by 79% over the last three years. Over the last two years, a similar allocation would have resulted in a 91% improvement over the average long-only commodity investment, while over the last 12 months, the improvement would have been 82%. Data as of Dec 2015. Other periods may yield different results.

Dampened Worst Losses by 53%...

...on average, with a 50/50 allocation to long-only ("LO") and MILCOM

Worst Peak-to-Trough Loss (Last 3 Years) (%)

Instead of a 100% allocation to long-only commodities*, a 50/50 split between long-only commodities and MILCOM would have, on average, reduced maximum "peak-to-trough" drawdowns by 53% over the last three years. Over the last two years, a similar allocation would have resulted in a 59% reduction in largest drawdown compared with the average long-only commodity investment, while over the last 12 months, the improvement would have been a 55% reduction. Data as of Dec 2015. Other periods may yield different results.

Find Your Specific Ticker Below and Compare

Last 12 Months

Jan - Dec 2015

100% Long-Only Instrument

25% MILCOM +
75% Long-Only Instrument

50% MILCOM +
50% Long-Only Instrument

Long-Only Instrument

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

GLD

-10.67%

-17.81%

-2.20%

-9.49%

6.69%

-3.61%

OIL

-50.32%

-72.24%

-35.38%

-57.82%

-17.75%

-37.80%

RYBIX

-18.89%

-25.29%

-8.79%

-17.16%

2.01%

-8.88%

FMFEX

-10.84%

-18.56%

-2.29%

-12.08%

6.66%

-6.46%

GSG

-34.06%

-51.91%

-21.49%

-37.94%

-7.39%

-20.81%

USO

-45.97%

-68.03%

-31.52%

-53.45%

-14.76%

-33.86%

DCMSX

-23.97%

-33.54%

-13.17%

-21.63%

-1.33%

-10.09%

LINE

-87.27%

-95.72%

-74.02%

-88.00%

-52.60%

-71.00%

SLV

-12.42%

-20.25%

-3.56%

-10.52%

5.75%

-4.46%

XLE

-23.80%

-33.44%

-12.78%

-22.99%

-0.86%

-12.56%

GGN

-32.14%

-48.65%

-19.44%

-34.56%

-5.53%

-21.05%

GDX

-25.35%

-38.45%

-13.02%

-27.39%

-0.25%

-15.51%

DBC

-27.59%

-42.46%

-16.11%

-29.38%

-3.44%

-14.46%

IAU

-10.58%

-17.70%

-2.12%

-9.37%

6.74%

-3.54%

XLB

-10.62%

-22.47%

-1.96%

-14.89%

7.00%

-7.99%

UNG

-41.30%

-60.79%

-28.28%

-47.11%

-12.99%

-30.19%

SPGSCITR

-32.86%

-51.43%

-20.42%

-37.47%

-6.55%

-20.40%

BCOMTR

-24.66%

-33.77%

-13.75%

-21.77%

-1.77%

-10.13%


Last 2 Years

Jan 2014 - Dec 2015

100% Long-Only Instrument

25% MILCOM +
75% Long-Only Instrument

50% MILCOM +
50% Long-Only Instrument

Long-Only Instrument

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

GLD

-6.53%

-20.85%

1.34%

-9.49%

9.54%

-5.61%

OIL

-48.09%

-75.64%

-33.61%

-60.32%

-16.43%

-37.80%

RYBIX

-11.03%

-29.08%

-2.24%

-18.48%

7.02%

-8.88%

FMFEX

-6.00%

-20.85%

1.75%

-12.08%

9.82%

-6.46%

GSG

-33.51%

-58.05%

-21.08%

-41.86%

-6.97%

-20.81%

USO

-44.19%

-71.71%

-30.16%

-55.94%

-13.75%

-33.86%

DCMSX

-19.86%

-42.25%

-9.62%

-26.43%

1.55%

-10.09%

LINE

-79.53%

-96.07%

-64.44%

-88.21%

-42.71%

-71.00%

SLV

-16.04%

-37.47%

-6.21%

-19.96%

4.23%

-7.16%

XLE

-17.45%

-39.74%

-7.38%

-26.17%

3.37%

-12.61%

GGN

-27.43%

-56.74%

-15.42%

-40.74%

-2.35%

-23.89%

GDX

-19.42%

-48.59%

-7.82%

-34.22%

3.92%

-18.01%

DBC

-27.84%

-49.74%

-16.30%

-33.76%

-3.40%

-14.46%

IAU

-6.41%

-20.64%

1.43%

-9.37%

9.60%

-5.60%

XLB

-3.08%

-22.47%

4.16%

-14.89%

11.58%

-7.99%

UNG

-35.27%

-67.34%

-22.29%

-51.88%

-7.67%

-30.80%

SPGSCITR

-32.96%

-57.48%

-20.59%

-41.27%

-6.58%

-20.40%

BCOMTR

-20.93%

-42.95%

-10.52%

-27.08%

0.88%

-10.13%

 

Last 3 Years

Jan 2013 - Dec 2015

100% Long-Only Instrument

25% MILCOM +
75% Long-Only Instrument

50% MILCOM +
50% Long-Only Instrument

Long-Only Instrument

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

Annualized Rate of Return

Worst Peak-to-Trough Loss Experienced During the Period

GLD

-14.45%

-40.97%

-7.67%

-27.82%

-0.64%

-23.07%

OIL

-34.12%

-75.64%

-23.18%

-60.32%

-11.44%

-37.80%

RYBIX

-7.25%

-29.08%

-1.90%

-18.48%

3.46%

-9.63%

FMFEX

2.31%

-20.85%

5.49%

-12.08%

8.53%

-6.46%

GSG

-24.29%

-58.50%

-15.52%

-41.98%

-6.19%

-21.19%

USO

-30.92%

-71.71%

-20.61%

-55.94%

-9.62%

-33.86%

DCMSX

-16.54%

-45.05%

-9.40%

-29.81%

-1.91%

-14.15%

LINE

-66.80%

-96.94%

-51.63%

-90.18%

-33.15%

-73.20%

SLV

-23.42%

-60.60%

-14.70%

-44.76%

-5.51%

-29.42%

XLE

-5.47%

-39.74%

-0.35%

-26.17%

4.64%

-12.61%

GGN

-28.14%

-67.01%

-18.41%

-51.04%

-8.09%

-31.86%

GDX

-33.37%

-74.45%

-22.34%

-59.96%

-10.66%

-40.45%

DBC

-21.65%

-53.42%

-13.49%

-37.75%

-4.80%

-18.15%

IAU

-14.35%

-40.76%

-7.59%

-27.76%

-0.58%

-23.03%

XLB

4.97%

-22.47%

7.58%

-14.89%

9.99%

-7.99%

UNG

-22.88%

-67.34%

-13.95%

-51.88%

-4.77%

-30.80%

SPGSCITR

-23.71%

-57.48%

-15.04%

-41.27%

-5.84%

-20.42%

BCOMTR

-17.29%

-47.01%

-10.01%

-31.69%

-2.35%

-14.78%

Contact us to request more information on why a MILCOM investment may provide a more flexible approach to commodity investing, including a full performance history. 


Hypothetical Blends of Long-only Commodity Investments with MILCOM

*Typical long-only commodity investments used in this analysis include 18 of the most popular ETF and other long-only commodity investment vehicles: GLD, OIL, RYBIX, FMFEX, GSG, USO, DCMSX, LINE, SLV, XLE, GGN, GDX, DBC, IAU, XLB, UNG, SPGSCITR and BCOMTR. Statistics for LO are based on average returns for this set of instruments. Source: Bloomberg.

The charts above show the results of adding increments of Millburn Commodity Program to portfolios consisting each of a single commodity-focused instrument.  For the periods noted, a hypothetical portfolio comprised of MILCOM and each exchange-traded instrument shown here, individually, would have had greater returns and lower risk (as measured by maximum drawdown) than a portfolio comprised of just the respective instrument.  There can be no assurance these results will be obtained in the future.  Adding MILCOM will only increase returns of a portfolio if it produces a higher return than the respective exchange-traded instrument over the period measured.  In certain circumstances, adding MILCOM to a portfolio could result in increased volatility. It should be noted that Millburn did not manage any account represented by the allocations shown here, and that these tables are presented for illustrative purposes only and not as a recommendation that any client should allocate more than a particular percentage of his or her portfolio to MILCOM.  Moreover, these hypothetical results have inherent limitations in that they do not reflect actual allocations in any account managed by Millburn and therefore do not reflect the impact that economic or market factors may have had on the management of an account.  There can be no assurance that the Strategy will be profitable or will not incur losses. 

NOTES TO PERFORMANCE

1. MILCOM returns are net of all fees, expenses and transaction costs for direct investors (2% management fee; actual transaction costs incurred; up to 0.25% per annum operating and administrative expenses; 20% profit share, subject to a high water mark), and reflect the reinvestment of profits. 

RISKS OF AN INVESTMENT IN MILLBURN COMMODITY PROGRAM (“Millburn Commodity” or the “Strategy”) include but are not limited to the following: (i) The Strategy is speculative. Investors may lose all or a substantial portion of their investment in the Strategy; (ii) The Strategy is leveraged. The Strategy will acquire positions with a face amount of as much as six to eight times or more of its total equity. Leverage magnifies the impact of both profit and loss; (iii) The performance of the Strategy is expected to be volatile. Since inception, monthly returns in the Strategy ranged from up 16.65% to down 7.09%¹; (iv) Investors will sustain losses if the Strategy is unable to generate sufficient trading profits and interest income to offset its fees and expenses; (v) A lack of liquidity in the markets in which the Strategy trades could make it impossible for the Strategy to realize profits or limit losses; (vi) A substantial portion of the trades executed for the Strategy take place on foreign exchanges. No U.S. regulatory authority or exchange has the power to compel the enforcement of the rules of a foreign board of trade or any applicable foreign laws. This performance report is based on performance and other information available as of the date of this report. Any markets, models, leverage, portfolio weights and other data described herein change over time, but are accurate as of the date indicated herein. This investment summary is for informational purposes only and is not a solicitation to buy any of the products trading the Strategy. An investment may arise only when a disclosure document has been received and reviewed and certain agreements have been executed. Information contained in this report is based on Millburn’s own data and has not been externally verified, except where otherwise stated.

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

Futures accounts may be illiquid, are speculative, employ significant leverage, and involve a high degree of risk. Futures products involve high fees. Please see the relevant disclosure document for a detailed description of these and other "Risk Factors" and "Conflicts of Interest." There can be no assurance that the Strategy will achieve its objectives. For European Union investors: The Alternative Investment Fund Managers Directive (the "AIFM Directive") came into effect across the European Union ("EU") on July 22, 2013. The AIFM Directive imposes regulatory requirements with respect to each EU country. Accordingly, any offering of interests or shares of an investment vehicle (a “Fund”) to prospective investors in the EU must be made in accordance with national private placement marketing rules in force in each EU jurisdiction, which have been amended to comply with the new AIFM Directive requirements. It should be noted that some EU member states have not yet implemented the provisions of the AIFMD Directive and others have allowed transitional periods for compliance. A Fund may permit an investment by an investor located in an EU country even where it does not comply with the national private placement marketing requirements, provided that the investor acknowledges and agrees that none of Millburn Ridgefield Corporation, or any of its directors or officers, any director or officer of a Fund, nor any of their affiliates or representatives, marketed, offered or solicited an investment in the Fund to the investor and the investor agrees that it initiated contact regarding the Fund with Millburn. For U.K. investors: This document has been approved for communication by Millburn International (Europe) LLP (“Millburn-Europe”), which is authorized and regulated by the UK Financial Conduct Authority ("FCA“, Reference Number 581612). The Program is not a recognized scheme for the purposes of s238 the United Kingdom Financial Services and Markets Act 2000 ("FSMA"). The communication of this report or any invitation or inducement in the United Kingdom to invest in the Program is accordingly restricted by law. This report is being communicated by Millburn-Europe only to persons of a kind to whom this document may, for the time being, be communicated by Millburn-Europe by virtue of the Conduct of Business Rules of the FCA or any other exemption to section 238 of FSMA, and this document is being communicated only to/or directed only at, persons who are, or are capable of being treated by Millburn-Europe as professional clients or eligible counterparties, as each term is defined in the rules of the FCA, together with any other persons to whom this document may lawfully be communicated under FSMA. Investors will be investors in the Program and not customers of Millburn. As such they are advised that in respect of an investment in the Program they will not generally benefit from the protection of FSMA and provisions made thereunder or the United Kingdom Financial Services Compensation Scheme and will not have access to the United Kingdom Financial Ombudsman Service in the event of a dispute. Investors will also have no rights of cancellation or withdrawal under the cancellation and withdrawal rules of the FCA. Past performance is not necessarily a guide to future performance. The value of investments in the Program and the income derived from them may go down. Changes in rates of exchange may be one of the causes of the value of the investment in the Program to go up and down. This report is written for the benefit of the category of persons described above. It is not addressed to any other person and may not be used by them for any purpose whatsoever. It expresses no views as to the suitability of the investments described herein to the individual circumstances of any recipient.

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