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SYSTEMATIC CTA

Expertise in Systematic Managed Futures 

Millburn has traded systematic managed futures strategies since as early as 1971. Today's strategies retain the emphasis on price-based momentum, key to our approach since inception, but also rely on information derivable from fundamental and other non-price data sources.

Advanced Statistical Inference

Through the use of a common statistical framework, our managed futures strategies seek to form contextual views on each instrument we trade, and utilize a data-driven approach to identifying (and allocating to) multiple drivers of returns.

We believe that this contextual, multi-factor approach offers an informational advantage over traditional investment methods, allowing us to better forecast near-term price movements. Further, we believe that this approach results in strategies that can systematically adapt to changing market structure.

Systematic Managed Futures Programs

Global Diversified


Global diversified programs are intended to capture movements in more than 90 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 global diversified programs invest systematically across a diversified portfolio, using strategies intended to capture movements in more than 90 global futures and currency instruments. These programs seek to identify opportunities in both rising and falling market environments through the use of a multi-factor, systematic and risk-managed investment approach that extracts information from a variety of price, price-derivative and non-price data sources.

Our global diversified programs have historically demonstrated near-zero correlation to traditional long equity and bond investments, as well as what we believe to be strong performance during many periods of stress for such traditional asset classes. Of course, there can be no guarantee that losses will not occur.

Millburn's global diversified programs include MDP and Multi-Markets. While MDP and Multi-Markets differ in minor ways in portfolio allocation and trading, each program embodies Millburn's most evolved approaches to diversified managed futures investing.

Maximum Risk Allocation

Sector-Focused


Sector-focused programs invest in a subset of the available instrument universe, to meet more specific investor needs or requirements.

Millburn Commodity Program

Inception: March 2005

 

 

Millburn Commodity Program is a global commodity-oriented portfolio intended to systematically capture movements in approximately 45 physical commodities in sectors such as energy, metals, grains, lumber, livestock and soft commodities. 

Millburn Commodity Program seeks to identify opportunities in both rising and falling market environments through the use of the same multi-factor, systematic and risk-managed approach as that used by MDP and Multi-Markets, with the goal of extracting information from a variety of price, price-derivative and non-price data sources.

Specific investment strategies used include those utilized in our global diversified programs, but also strategies unique to the instruments traded within this particular portfolio.

 

Maximum Risk Allocation

 

*Millburn Diversified Program began trading in February 1977, and we believe 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.