Millburn Press Release, February 2017
MILLBURN DIVERSIFIED PROGRAM AWARDED "BEST RISK ADJUSTED RETURN OVER $500M"
Millburn Ridgefield Corporation’s Diversified Program (“MDP” or the "Strategy")¹ was the recipient of the CTA Intelligence 2017 US Performance Award in the category “Best Risk Adjusted Return Over $500M.”
The CTA Intelligence US Performance Awards recognize and reward those CTAs and managed futures funds that have outperformed their peers over the past 12 months (ending September 30, 2016).
ABOUT MILLBURN DIVERSIFIED PROGRAM
Millburn Diversified Program is a systematic long/short strategy that has been investing continuously since February 1977. MDP trades a diversified set of nearly 100 liquid global futures and foreign exchange markets utilizing a range of price, price- derivative and non-price data, and acts across a broad range of time frames. MDP returned 16.00% (net), with an annualized standard deviation of 9.21%, over the 12 months ended September 30, 2016, and returned 11.47% (net) for calendar year 2016. The Strategy has historically demonstrated low or near-zero correlation to many stock, bond and hedge fund indices.*
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NOTES AND DISCLAIMERS
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE POTENTIAL FOR PROFIT IS ACCOMPANIED BY THE RISK OF LOSS.
RISKS OF AN INVESTMENT IN MDP include but are not limited to the following: (i) MDP is speculative. Investors may lose all or a substantial portion of their investment in MDP; (ii) MDP is leveraged. MDP will acquire positions with a face amount of as much as eight to ten times or more of its total equity. Leverage magnifies the impact of both profit and loss; (iii) The performance of MDP is expected to be volatile. Since inception, monthly returns in MDP ranged from up 9.11% to down 8.96%¹; (iv) Investors will sustain losses if MDP 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 MDP trades could make it impossible for MDP to realize profits or limit losses; (vi) A substantial portion of the trades executed for MDP 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 press release is based on performance and other information available as of the date indicated. Any markets, models, leverage, portfolio weights and other data described herein change over time, but are accurate as of the date indicated herein. This press release is not an invitation to invest in MDP or any investment strategy managed by Millburn Ridgefield Corporation (“Millburn”) and must be supplemented by certain disclosure when considering an investment, including important information concerning risk factors, conflicts of interest and other material aspects of an investment; this must be read carefully before any decision whether to invest is made. Investors may lose all or a substantial amount of their investments. Information contained in this report is based on Millburn’s own data and has not been externally verified, except where otherwise stated.
Returns described herein are net of all fees, expenses and transaction costs typically incurred in a separately managed account trading the Strategy (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.
*Correlations of MDP to stocks, bonds and hedge funds were measured from its inception in February 1977 to end December 2016, 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 0.20) to measure correlation to stocks and bonds. 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.