Millburn Corporation : Commodity Program

Year-to-Date
0.74%
Mar Performance
-0.02%
Min Investment
$ 25,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.20%
Sharpe (RFR=1%)
0.52
CAROR
6.85%
Assets
$ 218.0M
Worst DD
-30.85
S&P Correlation
-0.07

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Mar Qtr YTD 1yr 3yr 5yr 10yr Since
3/2005
Commodity Program -0.02 0.74 0.74 -6.19 47.58 26.52 79.37 122.67
S&P 500 -0.04 5.53 5.53 14.71 26.19 67.75 66.26 100.10
+/- S&P 500 0.02 -4.79 -4.79 -20.90 21.39 -41.23 13.11 22.57

Strategy Description

Summary

MILCOM actively trades futures, forwards, options and swap contracts on approximately 50 physical commodities in various markets such as energy, metals, grains, tropical commodities, lumber and livestock. Positions in the instruments traded are leveraged and may be either long or short,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
800 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
54.00%
1-3 Months
25.00%
1-30 Days
21.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
7.00%
Option-spreads
15.00%
Pattern Recognition
7.00%
Trend-following
61.00%
Other
10.00%
Strategy Pie Chart

Composition

Energy
30.00%
Grains
22.00%
Softs
16.00%
Industrial Metals
14.00%
Currency FX
13.00%
Livestock
5.00%
Composition Pie Chart

Summary

MILCOM actively trades futures, forwards, options and swap contracts on approximately 50 physical commodities in various markets such as energy, metals, grains, tropical commodities, lumber and livestock. Positions in the instruments traded are leveraged and may be either long or short, providing opportunities in both rising and falling markets. Trading decisions are made for each market pursuant to Millburn’s quantitative and systematic trading method.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-30.85 31 24 4/1/2011 11/1/2013
-17.74 18 5 2/1/2009 8/1/2010
-10.95 4 4 3/1/2005 7/1/2005
-10.34 2 3 6/1/2008 8/1/2008
-8.29 10 - 2/1/2016 12/1/2016
-6.55 1 3 2/1/2008 3/1/2008
-5.97 6 1 2/1/2007 8/1/2007
-5.23 3 5 5/1/2006 8/1/2006
-2.54 1 1 1/1/2006 2/1/2006
-0.42 1 1 12/1/2008 1/1/2009
-0.38 1 1 2/1/2011 3/1/2011
-0.08 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
31.71 12 12/1/2013 11/1/2014
27.73 3 12/1/2007 2/1/2008
25.43 6 9/1/2010 2/1/2011
21.73 3 11/1/2005 1/1/2006
20.42 4 11/1/2015 2/1/2016
14.75 4 9/1/2008 12/1/2008
13.10 2 9/1/2007 10/1/2007
12.60 3 4/1/2008 6/1/2008
12.57 3 3/1/2006 5/1/2006
10.11 3 5/1/2015 7/1/2015
7.04 6 9/1/2006 2/1/2007
6.65 2 8/1/2005 9/1/2005
5.19 2 3/1/2010 4/1/2010
4.87 3 1/1/2015 3/1/2015
3.25 2 11/1/2009 12/1/2009
2.87 2 8/1/2009 9/1/2009
2.66 1 9/1/2015 9/1/2015
2.57 2 4/1/2007 5/1/2007
2.52 2 11/1/2011 12/1/2011
2.36 1 4/1/2011 4/1/2011
2.20 1 1/1/2017 1/1/2017
2.09 1 7/1/2011 7/1/2011
1.47 1 5/1/2016 5/1/2016
1.34 1 7/1/2012 7/1/2012
1.24 1 10/1/2016 10/1/2016
1.22 1 3/1/2005 3/1/2005
1.13 1 3/1/2012 3/1/2012
0.88 1 2/1/2009 2/1/2009
0.33 1 7/1/2016 7/1/2016
0.08 1 6/1/2013 6/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.44 10 8/1/2012 5/1/2013
-12.00 5 3/1/2009 7/1/2009
-11.78 4 5/1/2010 8/1/2010
-10.95 4 4/1/2005 7/1/2005
-10.34 2 7/1/2008 8/1/2008
-10.22 2 5/1/2011 6/1/2011
-6.55 1 3/1/2008 3/1/2008
-5.98 3 8/1/2011 10/1/2011
-5.23 3 6/1/2006 8/1/2006
-5.11 3 4/1/2012 6/1/2012
-5.04 2 11/1/2016 12/1/2016
-4.53 1 3/1/2007 3/1/2007
-3.98 3 6/1/2007 8/1/2007
-3.66 1 4/1/2015 4/1/2015
-3.65 5 7/1/2013 11/1/2013
-3.27 2 3/1/2016 4/1/2016
-3.04 2 8/1/2016 9/1/2016
-2.87 1 10/1/2009 10/1/2009
-2.54 1 2/1/2006 2/1/2006
-2.44 2 1/1/2012 2/1/2012
-2.38 1 12/1/2014 12/1/2014
-2.36 2 1/1/2010 2/1/2010
-1.99 1 8/1/2015 8/1/2015
-1.43 2 2/1/2017 3/1/2017
-0.42 1 1/1/2009 1/1/2009
-0.39 1 10/1/2015 10/1/2015
-0.38 1 3/1/2011 3/1/2011
-0.16 1 10/1/2005 10/1/2005
-0.09 1 6/1/2016 6/1/2016
-0.08 1 11/1/2007 11/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods145.00143.00140.00134.00128.00122.00110.0098.0086.00
Percent Profitable52.4151.7554.2964.9371.0971.3169.0967.3576.74
Average Period Return0.611.964.359.1113.3316.9623.7823.1624.14
Average Gain3.027.1612.3718.7223.8028.9239.9640.3736.10
Average Loss-2.04-3.62-5.17-8.68-12.40-12.77-12.40-12.35-15.32
Best Period16.6527.7344.3446.9756.9863.81105.2591.9288.62
Worst Period-7.09-11.35-13.83-16.28-22.26-26.96-25.92-22.87-26.70
Standard Deviation3.526.9211.0816.2920.6524.1533.0832.1330.34
Gain Standard Deviation2.935.438.7211.5214.0916.9526.6524.4223.72
Loss Standard Deviation1.782.673.324.567.058.526.976.837.60
Sharpe Ratio (1%)0.150.250.350.500.570.620.630.590.63
Average Gain / Average Loss1.481.982.392.161.922.263.223.272.36
Profit / Loss Ratio1.632.122.843.994.725.637.206.747.78
Downside Deviation (10%)2.083.845.648.5911.4713.3416.6720.5422.64
Downside Deviation (5%)1.903.264.436.338.369.119.4010.1510.49
Downside Deviation (0%)1.863.124.145.807.658.197.888.048.20
Sortino Ratio (10%)0.100.190.330.480.500.500.480.08-0.15
Sortino Ratio (5%)0.280.520.871.281.411.642.211.881.82
Sortino Ratio (0%)0.330.631.051.571.742.073.022.882.94

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 6 1.24 10/2016
Trend Following Strategy Index Month 7 1.47 5/2016
Diversified Trader Index Month 9 1.47 5/2016
IASG CTA Index 3 Year Rolling 10 48.99 2012 - 2015
Trend Following Strategy Index Month 1 6.87 12/2015
IASG CTA Index Month 2 6.87 12/2015
Diversified Trader Index Month 2 6.87 12/2015
Systematic Trader Index Month 3 6.87 12/2015
IASG CTA Index Year Rolling 6 25.50 2014 - 2015
Trend Following Strategy Index Month 5 1.08 6/2015
Trend Following Strategy Index Month 10 3.90 5/2015
Trend Following Strategy Index Month 10 -1.02 7/2006
Trend Following Strategy Index Month 10 10.29 1/2006

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.