Weekly Report: Millburn Commodity Program
THIS REPORT IS CONFIDENTIAL AND FOR YOUR USE ONLY. THIS REPORT OR LINK IS NOT FOR REDISTRIBUTION.
Millburn Commodity Program - Weekly Risk and Performance Summary
Week Ending Feb 9, 2018
Net Estimated Returns
Week Ending Feb 9, 2018¹
Week / -5.88%
MTD / -5.66%
YTD / -3.11%
Allocation by Sector
Maximum Risk Allocation, Week Ending Feb 9, 2018
Gross Estimated Attribution, Week Ending Feb 9, 2018²
Rolling 10-day Margin Values³
Net Face Value Exposure
Rolling 10-day Exposure Values⁴
Value at Risk
Week Ending Feb 9, 2018⁵
Value of USD 1,000 Investment
Mar 2005 - Jan 2018 Based on Net Performance (Estimate)¹
NOTES TO PERFORMANCE
1. Returns are net of all fees, expenses and transaction costs for direct investors (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.
2. Estimated performance results are subject to final verification. These estimates do not account for fees or costs, which are applied at the program level (see footnote 1 above).
3. Margin to equity is calculated using IMM equivalents for foreign exchange and exchange minimums on all outright positions. Broker margin requirements may be less due to offsetting position calculations.
4. Net face value exposure (long minus short) by sector shows the underlying notional value of the portfolio as a percentage of total NAV.
5. Value at Risk is calculated using Monte Carlo simulation (10,000 iterations) based on a 1-day, 95% confidence interval. Source: Bloomberg Value at Risk Analytics.
RISKS OF AN INVESTMENT IN MILLBURN COMMODITY PROGRAM
RISKS OF AN INVESTMENT IN MILLBURN COMMODITY PROGRAM (“Millburn Commodity” or 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%¹; (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. This performance report is based on performance and other information available as of the date of this report. Any markets, models, leverage, portfolio weights and other data described herein change over time, but are accurate as of the date indicated herein. This investment summary is for informational purposes only and is not a solicitation to buy any of the products trading the Strategy. An investment may arise only when a disclosure document has been received and reviewed and certain agreements have been executed. Information contained in this report is based on Millburn’s own data and has not been externally verified, except where otherwise stated.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE POTENTIAL FOR PROFIT IS ACCOMPANIED BY THE RISK OF LOSS.
Futures accounts are illiquid, speculative, employ significant leverage, and involve a high degree of risk. Futures products involve high fees. Please see the disclosure document for a detailed description of these and other "Risk Factors" and "Conflicts of Interest." There can be no assurance that the Strategy will achieve its objectives. For European Union investors: The Alternative Investment Fund Managers Directive (the "AIFM Directive") came into effect across the European Union ("EU") on July 22, 2013. The AIFM Directive imposes regulatory requirements with respect to each EU country. Accordingly, any offering of interests or shares of an investment vehicle (a “Fund”) to prospective investors in the EU must be made in accordance with national private placement marketing rules in force in each EU jurisdiction, which have been amended to comply with the new AIFM Directive requirements. It should be noted that some EU member states have not yet implemented the provisions of the AIFMD Directive and others have allowed transitional periods for compliance. A Fund may permit an investment by an investor located in an EU country even where it does not comply with the national private placement marketing requirements, provided that the investor acknowledges and agrees that none of Millburn Ridgefield Corporation, or any of its directors or officers, any director or officer of a Fund, nor any of their affiliates or representatives, marketed, offered or solicited an investment in the Fund to the investor and the investor agrees that it initiated contact regarding the Fund with Millburn. For U.K. investors: This document has been approved for communication by Millburn International (Europe) LLP (“Millburn-Europe”), which is authorized and regulated by the UK Financial Conduct Authority ("FCA“, Reference Number 581612). The Program is not a recognized scheme for the purposes of s238 the United Kingdom Financial Services and Markets Act 2000 ("FSMA"). The communication of this report or any invitation or inducement in the United Kingdom to invest in the Program is accordingly restricted by law. This report is being communicated by Millburn-Europe only to persons of a kind to whom this document may, for the time being, be communicated by Millburn-Europe by virtue of the Conduct of Business Rules of the FCA or any other exemption to section 238 of FSMA, and this document is being communicated only to/or directed only at, persons who are, or are capable of being treated by Millburn-Europe as professional clients or eligible counterparties, as each term is defined in the rules of the FCA, together with any other persons to whom this document may lawfully be communicated under FSMA. Investors will be investors in the Program and not customers of Millburn. As such they are advised that in respect of an investment in the Program they will not generally benefit from the protection of FSMA and provisions made thereunder or the United Kingdom Financial Services Compensation Scheme and will not have access to the United Kingdom Financial Ombudsman Service in the event of a dispute. Investors will also have no rights of cancellation or withdrawal under the cancellation and withdrawal rules of the FCA. Past performance is not necessarily a guide to future performance. The value of investments in the Program and the income derived from them may go down. Changes in rates of exchange may be one of the causes of the value of the investment in the Program to go up and down. This report is written for the benefit of the category of persons described above. It is not addressed to any other person and may not be used by them for any purpose whatsoever. It expresses no views as to the suitability of the investments described herein to the individual circumstances of any recipient.