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Millburn Diversified Program Added to Newedge CTA Index

News Items

Millburn Diversified Program Added to Newedge CTA Index

Craig Gilbert

Millburn Press Release

Millburn Ridgefield Corporation (“Millburn”) was informed recently by Newedge of the addition of Millburn Diversified Program to the Newedge CTA Index, effective January 1, 2015. The Newedge CTA Index is an equal-weighted daily return index recognized as a key managed futures performance benchmark. The index calculates the net daily rate of return for a pool of twenty CTAs selected from the largest managers open to new investment.

The addition of Millburn Diversified Program to the Newedge CTA Index comes on the heels of the January 2014 addition of Millburn Diversified Program to the Newedge Trend Index.

Millburn Diversified Program (“MDP”) is a systematic strategy that trades a diversified set of more than 100 markets. MDP utilizes a range of price, price-derivative and non-price data, and acts across a broad range of time frames. MDP has traded for almost 38 years, and has historically demonstrated low or near-zero correlation to many stock, bond and hedge fund indices.*

For further information, please contact us.


* Correlations of MDP to stocks, bonds and hedge funds were measured from MDP inception in February 1977 to end December 2013, utilizing the S&P 500 Index (correlation of -0.02 to MDP), the MSCI World Index (correlation of 0.00) and the Citi World Government Bond Index (correlation 0.19). Correlations to hedge funds were measured utilizing the HFRI Fund Weighted Composite Index (correlation of 0.06).


The investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation. Diversification does not eliminate the risk of experiencing investment losses. 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. Futures accounts are speculative, employ significant leverage, involve a high degree of risk, are not suitable for all investors, and may involve high fees. There can be no assurance that an investment strategy will achieve its objectives. This information is not a solicitation for investment. Such an investment may only be made on the basis of information and representations made in the appropriate written disclosure document.

Millburn Diversified Program(the "Program" or "MDP") represents the pro forma performance of a fully-funded account traded pursuant to MDP during the period presented.  The historical performance of MDP has been retroactively adjusted on a pro forma basis to reflect the cost/fee structure generally charged in connection with separately managed accounts trading MDP.  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: 0.55% 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 MDP.  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, subjectto final verification.