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ValueWalk Article

Millburn Outperforms Managed Futures Beta Market Environment As Does ISAM, Dunn

January 5, 2016


ValueWalk Article, Published January 5, 2016
Excerpt from article published 1/5/2016 at
By Mark Melin

Another interesting dichotomy noted in the HSBC Hedge Weekly performance report is apparent in the Millburn Commodity Program¹, up 25.59% year to date and in eighth place, exhibiting significant beta market outperformance. 2015 returns came mostly from energy and metals, Craig Gilbert, a senior executive at the fund told ValueWalk. The well-known managed futures player was in the top 20 in both 2015 and 2014, posting significant 25%+ performance in each year, but in 2013 was 13 on the bottom list, a year in which many trend followers, including Cantab, Eagle, Bluetrend Fund, Man AHL Currency Fund and ISAM all populated the bottom 20, highlighting a difficult beta market environment year for managed futures in general.

In 2015, however, managed futures systematic hedge funds are posting small gains during a generally down year for many long-only equity hedge funds, with the Systematic/Global managed futures category posting unremarkable average performance of 0.78%, with the select standouts being the $271 million Dunn WMA Fund, up 14.51% year to date after a strong 6.2% winner in December. The $564 million ISAM Systematic Trend Fund, who has garnered significant asset flows since turning in strong previous performance in 2014, up 27.03 percent, is also finding 2015 to present strong market environments, with the fund up 14.88% year to date as of Dec. 25.  Round this off with the $860 million Aspect Diversified Fund, up 7.71 percent year to date as of Dec reporting, Algorithmic hedge funds have noted that the commodity market sell-off, led in large part by oil, has baffled discretionary hedge fund managers in 2015. “If I listened to fundamental analysts telling me to exit oil shorts and other commodity exposure, I would have missed much of this trend,” one fund manager previously told ValueWalk. 



RISKS OF AN INVESTMENT IN MILLBURN COMMODITY PROGRAM (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%; (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.

The information above is based on performance and other data available as of the date of this article or as otherwise noted. Any markets, models, leverage, portfolio weights and other data described herein change over time, but are accurate as of the date indicated herein. This article reprint is not an invitation to invest in 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.

¹Returns described herein are net of all fees, expenses and transaction costs typically incurred in a separately managed account trading the Strategy (2% per annum management fee; actual transaction costs incurred; 0.25% per annum ordinary operating and administrative expenses; 20% annual profit share, subject to a high water mark), and reflect the reinvestment of profits.