Our Investment Approach
Millburn's investment approach combines substantial market experience—including live trading through many market cycles and periods of historical stress—with a rigorous, scientific approach to quantitative analysis. Working from a common statistical framework, the process has proven effective in translating ideas into robust, measurable investment strategies, portfolio constructs and risk management practices.
Key Elements of Our Process
Millburn's investment process is focused on a practical, scientific, evidence-driven understanding of market behavior.
Our process allows our R&D teams to efficiently evaluate markets using a wide range of factors, including price, price-derivative and non-price data, in various combinations.
Our research suggests that this approach offers an informational advantage over more traditional evaluation methods, enabling us to make decisions about the direction, size, and sustainability of price moves.
Further, the process can produce improvements in trade execution through the incorporation of return forecasting, enabling us to evaluate trades, before they are placed, in the context of overall trade profitability.
Our process is iterative, seeking continuous improvement and refinement.
Because our strategies are systematic in nature, key knowledge resides in our core systems rather than with any particular person, which means our process can make use of our decades of development and live trading experience, now and in the future.
But more than this, the nature of how we invest means we are able to carefully test and monitor new ideas, and measure improvements.
Technology forms the backbone of our research and investment capabilities, and is a key part of our culture.
Through the incorporation of leading-edge data tools, trading systems and networking, our approach benefits from significant ongoing investment in technology.
This focus and investment enables our researchers to create, simulate, implement and monitor our strategies with confidence and speed.
Risk management is in our DNA.
Millburn seeks to manage risk carefully in all its investment programs, with the goal of providing superior risk-adjusted returns and minimizing drawdowns across a variety of market environments and over a range of time-frames.
We believe strong risk management is effected through ongoing research and monitoring of our investment strategies, but that it fundamentally originates from a mindset of humility and an understanding of the responsibility we have for your invested assets.