Millburn Ridgefield Corporation : Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.64% Jun Performance 1.64% Min Investment $ 20,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 17.39% Sharpe (RFR=1%) 0.79 CAROR 14.16% Assets $ 4,231.0M Worst DD -25.65 S&P Correlation -0.02 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since2/1977 Diversified Program 1.64 0.36 1.64 7.47 6.91 36.04 46.58 27,415.23 S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 2,816.60 +/- S&P 500 -5.25 -3.43 -15.70 -0.74 -31.83 -12.51 -170.11 24,598.63 Strategy Description SummaryMillburn Diversified Program is a diversified global program designed to capture movements in over 100 global futures and currency markets. MDP, which began trading in 1977, has historically had a higher weighting to financial markets than other Millburn programs. We employ a systematic... Read More Account & Fees Type Managed Account Minimum Investment $ 20,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1000 RT/YR/$M Avg. Margin-to-Equity 25% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition Currency Futures 30.00% Stock Indices 24.00% Interest Rates 20.00% Energy 9.00% Other 9.00% Precious Metals 8.00% SummaryMillburn Diversified Program is a diversified global program designed to capture movements in over 100 global futures and currency markets. MDP, which began trading in 1977, has historically had a higher weighting to financial markets than other Millburn programs. We employ a systematic approach utilizing both long- term and short- term strategies to identify opportunities in both rising and falling market environments. Trading strategies encompass both trend following and non-trend models, including pattern recognition, event, intraday, fundamental and relative value. Our strong commitment to research innovation and risk management is the foundation to achieve an appropriate balance between risk and opportunity.Investment StrategyTrading and risk management in each market is controlled by a multi-tiered set of systems. The first stage involves the selection and combination of medium-to long-term directional models. These models are designed to detect changes in trends over different time-frames. The next element of Millburn's trading methodology is the historical volatility overlay. This overlay adjusts the size, but not the direction, of each position. The goal of the historical volatility overlay is to keep overall portfolio risk and risk in each market in the designed range. Once chosen, these systems work together to signal which markets to trade, how large a position to take, and whether to be long or short the instrument in question. After systems are chosen for use in each market, portfolios of markets are constructed with market allocations determined by analyzing historical profitability, liquidity, and desired degrees of concentration and diversification. Also, risk parameters are reviewed to determine the maximum gearing to be allowed in each portfolio. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -25.65 5 9 5/1/1989 10/1/1989 -25.36 9 12 3/1/1986 12/1/1986 -22.94 12 17 8/1/2003 8/1/2004 -22.84 28 29 4/1/2011 8/1/2013 -17.28 13 5 6/1/1999 7/1/2000 -16.29 3 5 10/1/1978 1/1/1979 -15.14 13 2 3/1/2001 4/1/2002 -14.81 5 17 2/1/2009 7/1/2009 -13.84 1 3 3/1/1978 4/1/1978 -13.45 2 6 6/1/2007 8/1/2007 -13.26 2 2 7/1/1985 9/1/1985 -10.83 4 2 12/1/1987 4/1/1988 -10.71 4 8 4/1/2006 8/1/2006 -10.58 1 8 1/1/1996 2/1/1996 -10.22 2 3 9/1/2002 11/1/2002 -9.97 4 2 12/1/1991 4/1/1992 -9.93 4 2 7/1/1984 11/1/1984 -9.81 2 3 7/1/1977 9/1/1977 -9.58 2 4 6/1/1991 8/1/1991 -9.26 2 3 12/1/1993 2/1/1994 -8.80 9 5 7/1/1997 4/1/1998 -8.49 4 10 10/1/2017 2/1/2018 -8.32 4 1 2/1/1985 6/1/1985 -8.25 1 2 2/1/2003 3/1/2003 -8.24 1 2 6/1/1982 7/1/1982 -7.69 1 2 11/1/1981 12/1/1981 -7.69 1 4 6/1/1988 7/1/1988 -7.37 2 3 6/1/1994 8/1/1994 -7.34 1 1 2/1/1981 3/1/1981 -7.06 1 4 7/1/1993 8/1/1993 -7.00 2 4 10/1/1983 12/1/1983 -6.97 2 2 6/1/2008 8/1/2008 -5.87 2 1 8/1/1981 10/1/1981 -5.62 1 5 12/1/1990 1/1/1991 -5.46 6 3 1/1/1983 7/1/1983 -4.83 1 2 4/1/1977 5/1/1977 -4.77 2 3 2/1/1997 4/1/1997 -4.61 2 4 4/1/2017 6/1/2017 -4.18 2 1 9/1/1982 11/1/1982 -4.17 3 1 11/1/1988 2/1/1989 -4.13 1 1 5/1/1984 6/1/1984 -3.97 1 2 12/1/1998 1/1/1999 -3.82 4 4 7/1/2016 11/1/2016 -3.68 4 1 9/1/1992 1/1/1993 -3.49 1 2 5/1/2003 6/1/2003 -3.42 2 1 4/1/1993 6/1/1993 -3.24 2 2 2/1/2008 4/1/2008 -2.99 1 1 4/1/1999 5/1/1999 -2.93 1 1 12/1/1994 1/1/1995 -2.55 1 1 2/1/2011 3/1/2011 -2.30 2 1 7/1/1980 9/1/1980 -2.23 4 2 6/1/1995 10/1/1995 -2.21 1 - 4/1/2019 5/1/2019 -2.14 2 2 2/1/2016 4/1/2016 -2.05 1 2 12/1/2018 1/1/2019 -1.98 2 1 9/1/1998 11/1/1998 -1.84 1 1 3/1/1980 4/1/1980 -1.32 1 1 1/1/2001 2/1/2001 -1.28 1 1 12/1/2010 1/1/2011 -1.03 1 1 3/1/1989 4/1/1989 -0.85 1 1 4/1/1995 5/1/1995 -0.82 1 1 1/1/2006 2/1/2006 -0.75 1 1 6/1/1979 7/1/1979 -0.53 1 1 2/1/1993 3/1/1993 -0.30 1 2 3/1/1982 4/1/1982 Show More Consecutive Gains Run-up Length (Mos.) Start End 82.16 8 8/1/1979 3/1/1980 55.68 6 10/1/1985 3/1/1986 46.16 5 10/1/1980 2/1/1981 39.27 7 6/1/1990 12/1/1990 38.33 5 4/1/1981 8/1/1981 38.00 4 12/1/1977 3/1/1978 35.95 5 5/1/2002 9/1/2002 34.56 6 9/1/1996 2/1/1997 33.17 5 5/1/1992 9/1/1992 30.18 4 1/1/1987 4/1/1987 29.55 6 11/1/1989 4/1/1990 29.06 4 7/1/1978 10/1/1978 28.34 5 2/1/1979 6/1/1979 27.34 4 10/1/2000 1/1/2001 27.12 3 2/1/1995 4/1/1995 24.61 2 5/1/1988 6/1/1988 24.42 3 1/1/1982 3/1/1982 24.10 3 12/1/1984 2/1/1985 21.09 3 10/1/1987 12/1/1987 20.61 4 9/1/2004 12/1/2004 20.53 4 3/1/2007 6/1/2007 19.07 6 9/1/2008 2/1/2009 18.23 3 12/1/2002 2/1/2003 18.04 2 11/1/1991 12/1/1991 17.62 1 7/1/1984 7/1/1984 15.98 1 5/1/1989 5/1/1989 15.38 3 11/1/1995 1/1/1996 15.26 5 1/1/1984 5/1/1984 14.67 5 5/1/2005 9/1/2005 13.91 4 9/1/1994 12/1/1994 13.07 1 7/1/1985 7/1/1985 12.57 2 9/1/2007 10/1/2007 12.24 3 11/1/2005 1/1/2006 12.10 2 8/1/1998 9/1/1998 12.02 3 2/1/2010 4/1/2010 11.99 2 7/1/1986 8/1/1986 11.79 4 11/1/2015 2/1/2016 11.27 5 9/1/2006 1/1/2007 11.24 2 12/1/1982 1/1/1983 10.44 3 8/1/2010 10/1/2010 10.39 3 5/1/1980 7/1/1980 10.34 3 2/1/1999 4/1/1999 10.26 2 8/1/1982 9/1/1982 10.23 2 5/1/1994 6/1/1994 10.10 1 5/1/1978 5/1/1978 10.04 3 12/1/2007 2/1/2008 9.78 2 11/1/1993 12/1/1993 9.68 3 5/1/1997 7/1/1997 9.35 2 4/1/2003 5/1/2003 9.33 3 2/1/1977 4/1/1977 8.80 1 3/1/2001 3/1/2001 8.75 3 4/1/2014 6/1/2014 8.74 3 5/1/2016 7/1/2016 8.71 2 5/1/1982 6/1/1982 8.66 4 8/1/1988 11/1/1988 8.66 4 8/1/2014 11/1/2014 8.51 5 8/1/2018 12/1/2018 8.22 3 12/1/2003 2/1/2004 7.95 2 5/1/2008 6/1/2008 7.93 1 3/1/1994 3/1/1994 7.76 2 12/1/1997 1/1/1998 7.66 2 6/1/1977 7/1/1977 7.37 1 11/1/1981 11/1/1981 7.16 3 11/1/1999 1/1/2000 7.09 1 3/1/1989 3/1/1989 6.65 2 3/1/2006 4/1/2006 6.64 2 5/1/1998 6/1/1998 6.59 2 3/1/1996 4/1/1996 6.08 1 4/1/2011 4/1/2011 5.89 2 8/1/2009 9/1/2009 5.79 3 1/1/2015 3/1/2015 5.75 1 12/1/2010 12/1/2010 5.65 1 6/1/1999 6/1/1999 5.48 1 2/1/1993 2/1/1993 5.43 1 7/1/2015 7/1/2015 5.38 2 6/1/1996 7/1/1996 5.25 1 8/1/1983 8/1/1983 5.15 1 4/1/1993 4/1/1993 5.07 1 11/1/2009 11/1/2009 4.97 3 2/1/1991 4/1/1991 4.86 3 2/1/2017 4/1/2017 4.77 1 7/1/1993 7/1/1993 4.49 2 3/1/2013 4/1/2013 4.47 1 2/1/2014 2/1/2014 4.46 3 11/1/2012 1/1/2013 4.44 1 10/1/1977 10/1/1977 4.44 3 9/1/2013 11/1/2013 4.40 4 3/1/2018 6/1/2018 4.40 3 2/1/2019 4/1/2019 4.38 2 7/1/2017 8/1/2017 4.37 1 7/1/2012 7/1/2012 4.23 1 9/1/1984 9/1/1984 4.19 2 12/1/2001 1/1/2002 4.06 1 10/1/2001 10/1/2001 3.95 1 7/1/2011 7/1/2011 3.82 2 4/1/2012 5/1/2012 3.79 2 7/1/2003 8/1/2003 3.51 1 8/1/2000 8/1/2000 3.30 1 9/1/2015 9/1/2015 3.29 1 8/1/2001 8/1/2001 3.27 1 10/1/2017 10/1/2017 3.20 1 1/1/1989 1/1/1989 2.63 1 11/1/1992 11/1/1992 2.60 1 12/1/1998 12/1/1998 2.51 1 2/1/2011 2/1/2011 2.10 1 10/1/1983 10/1/1983 1.98 1 6/1/1991 6/1/1991 1.96 2 8/1/1999 9/1/1999 1.87 1 2/1/1988 2/1/1988 1.84 1 5/1/2001 5/1/2001 1.83 2 4/1/1983 5/1/1983 1.64 1 6/1/2019 6/1/2019 1.48 1 8/1/1995 8/1/1995 1.46 1 7/1/1987 7/1/1987 1.17 1 3/1/2002 3/1/2002 1.17 1 3/1/1998 3/1/1998 1.14 1 12/1/2016 12/1/2016 1.11 1 9/1/1993 9/1/1993 1.10 1 9/1/1997 9/1/1997 1.07 1 9/1/1991 9/1/1991 1.02 1 9/1/2016 9/1/2016 1.00 1 6/1/1995 6/1/1995 0.83 1 4/1/2000 4/1/2000 0.57 1 12/1/2011 12/1/2011 0.27 1 2/1/2005 2/1/2005 0.08 1 7/1/2013 7/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -25.65 5 6/1/1989 10/1/1989 -23.22 4 9/1/1986 12/1/1986 -21.12 6 3/1/2004 8/1/2004 -16.29 3 11/1/1978 1/1/1979 -14.81 5 3/1/2009 7/1/2009 -13.84 1 4/1/1978 4/1/1978 -13.45 2 7/1/2007 8/1/2007 -13.26 2 8/1/1985 9/1/1985 -13.19 3 4/1/1986 6/1/1986 -11.27 2 5/1/2013 6/1/2013 -11.10 1 10/1/1999 10/1/1999 -10.71 4 5/1/2006 8/1/2006 -10.58 1 2/1/1996 2/1/1996 -10.22 2 10/1/2002 11/1/2002 -9.97 4 1/1/1992 4/1/1992 -9.81 2 8/1/1977 9/1/1977 -9.73 3 9/1/2003 11/1/2003 -9.58 2 7/1/1991 8/1/1991 -9.53 3 5/1/2010 7/1/2010 -9.26 2 1/1/1994 2/1/1994 -8.49 4 11/1/2017 2/1/2018 -8.44 2 5/1/2011 6/1/2011 -8.32 4 3/1/1985 6/1/1985 -8.25 1 3/1/2003 3/1/2003 -8.24 1 7/1/1982 7/1/1982 -7.99 1 1/1/1988 1/1/1988 -7.76 1 11/1/2001 11/1/2001 -7.69 1 7/1/1988 7/1/1988 -7.69 1 12/1/1981 12/1/1981 -7.62 1 8/1/1984 8/1/1984 -7.53 3 5/1/2000 7/1/2000 -7.53 2 3/1/2005 4/1/2005 -7.37 2 7/1/1994 8/1/1994 -7.34 1 3/1/1981 3/1/1981 -7.09 1 8/1/1997 8/1/1997 -7.06 1 8/1/1993 8/1/1993 -7.02 1 4/1/1998 4/1/1998 -7.00 2 11/1/1983 12/1/1983 -6.97 2 7/1/2008 8/1/2008 -6.93 2 8/1/1987 9/1/1987 -6.88 2 6/1/2001 7/1/2001 -6.81 3 4/1/2015 6/1/2015 -6.57 3 1/1/2012 3/1/2012 -6.52 4 8/1/2011 11/1/2011 -6.45 2 10/1/1984 11/1/1984 -6.12 3 8/1/2012 10/1/2012 -5.87 2 9/1/1981 10/1/1981 -5.62 1 1/1/1991 1/1/1991 -5.60 2 2/1/2000 3/1/2000 -5.50 1 5/1/1996 5/1/1996 -5.38 2 6/1/1983 7/1/1983 -5.21 1 5/1/1990 5/1/1990 -4.94 1 4/1/2001 4/1/2001 -4.94 2 5/1/1987 6/1/1987 -4.86 2 3/1/1988 4/1/1988 -4.83 1 5/1/1977 5/1/1977 -4.77 2 3/1/1997 4/1/1997 -4.63 1 7/1/1998 7/1/1998 -4.61 2 5/1/2017 6/1/2017 -4.26 2 12/1/2009 1/1/2010 -4.20 1 2/1/2002 2/1/2002 -4.18 2 10/1/1982 11/1/1982 -4.13 1 6/1/1984 6/1/1984 -3.97 1 1/1/1999 1/1/1999 -3.83 1 2/1/1989 2/1/1989 -3.81 2 12/1/2013 1/1/2014 -3.55 2 10/1/2016 11/1/2016 -3.49 1 6/1/2003 6/1/2003 -3.48 1 1/1/2005 1/1/2005 -3.44 1 12/1/1988 12/1/1988 -3.42 2 5/1/1993 6/1/1993 -3.41 1 6/1/2012 6/1/2012 -3.38 1 4/1/2002 4/1/2002 -3.25 1 7/1/1999 7/1/1999 -3.25 1 10/1/1992 10/1/1992 -3.24 2 3/1/2008 4/1/2008 -3.23 1 11/1/2007 11/1/2007 -3.17 1 8/1/2015 8/1/2015 -3.00 2 12/1/1992 1/1/1993 -2.99 1 5/1/1999 5/1/1999 -2.93 1 10/1/2009 10/1/2009 -2.93 1 1/1/1995 1/1/1995 -2.84 1 10/1/2005 10/1/2005 -2.81 1 11/1/2010 11/1/2010 -2.73 1 2/1/2007 2/1/2007 -2.70 1 9/1/2000 9/1/2000 -2.69 1 9/1/2001 9/1/2001 -2.55 1 7/1/2018 7/1/2018 -2.55 1 3/1/2011 3/1/2011 -2.47 1 2/1/1998 2/1/1998 -2.32 1 8/1/2013 8/1/2013 -2.30 2 8/1/1980 9/1/1980 -2.21 1 5/1/2019 5/1/2019 -2.20 1 10/1/2015 10/1/2015 -2.14 2 3/1/2016 4/1/2016 -2.12 1 11/1/1977 11/1/1977 -2.06 1 4/1/1994 4/1/1994 -2.05 1 1/1/2019 1/1/2019 -2.04 1 7/1/1995 7/1/1995 -1.98 2 10/1/1998 11/1/1998 -1.88 2 2/1/1983 3/1/1983 -1.84 1 4/1/1980 4/1/1980 -1.79 2 10/1/1997 11/1/1997 -1.65 2 9/1/1995 10/1/1995 -1.45 1 9/1/2017 9/1/2017 -1.32 1 2/1/2001 2/1/2001 -1.30 1 8/1/1996 8/1/1996 -1.29 1 8/1/2016 8/1/2016 -1.28 1 1/1/2011 1/1/2011 -1.21 1 6/1/1978 6/1/1978 -1.12 1 12/1/2014 12/1/2014 -1.04 1 9/1/1983 9/1/1983 -1.03 1 4/1/1989 4/1/1989 -1.00 1 7/1/2014 7/1/2014 -0.85 1 5/1/1995 5/1/1995 -0.82 1 2/1/2006 2/1/2006 -0.80 1 2/1/2013 2/1/2013 -0.80 1 5/1/1991 5/1/1991 -0.75 1 7/1/1979 7/1/1979 -0.53 1 3/1/1993 3/1/1993 -0.38 1 1/1/2017 1/1/2017 -0.30 1 4/1/1982 4/1/1982 -0.27 1 10/1/1993 10/1/1993 -0.10 1 3/1/2014 3/1/2014 -0.10 1 10/1/1991 10/1/1991 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods509.00507.00504.00498.00492.00486.00474.00462.00450.00 Percent Profitable59.3366.2772.6280.5286.7989.9293.0494.5997.56 Average Period Return1.233.737.5715.9325.0335.4560.1786.53113.08 Average Gain4.358.0712.5021.3529.9640.2765.1991.77116.14 Average Loss-3.32-4.80-5.50-6.48-7.36-7.56-6.97-4.94-8.87 Best Period20.4637.2663.05116.74176.05260.25398.99549.84736.65 Worst Period-14.13-22.68-21.71-22.94-22.57-17.75-17.86-10.33-15.90 Standard Deviation5.028.7912.8421.0130.4343.6275.56110.23138.68 Gain Standard Deviation3.697.3211.4219.7929.6643.3975.97111.09139.04 Loss Standard Deviation2.673.754.614.844.395.015.473.284.72 Sharpe Ratio (1%)0.230.400.550.710.770.770.760.750.78 Average Gain / Average Loss1.311.682.273.294.075.329.3518.5913.09 Profit / Loss Ratio1.913.316.0313.6226.7547.49124.98324.94522.47 Downside Deviation (10%)2.924.124.835.575.896.236.977.498.07 Downside Deviation (5%)2.763.653.953.933.593.433.012.252.31 Downside Deviation (0%)2.723.533.753.563.112.872.321.371.55 Sortino Ratio (10%)0.280.611.061.962.964.046.378.6810.59 Sortino Ratio (5%)0.420.951.793.806.559.7619.0136.6646.78 Sortino Ratio (0%)0.451.062.024.478.0512.3425.8963.1772.72 Top Performer Badges Index Award Type Rank Performance Period Diversified Trader Index Month 10 2.72 3/2007 Diversified Trader Index Month 6 2.12 1/2002 Systematic Trader Index Month 8 2.12 1/2002 Systematic Trader Index Month 7 4.79 10/2000 IASG CTA Index Month 9 4.79 10/2000 Diversified Trader Index Month 9 4.79 10/2000 IASG CTA Index Month 8 5.65 6/1999 Diversified Trader Index Month 6 5.65 6/1999 Systematic Trader Index Month 4 5.65 6/1999 Systematic Trader Index Month 9 2.37 6/1998 IASG CTA Index 5 Year Rolling 9 128.67 1991 - 1996 Systematic Trader Index Month 4 1.22 12/1996 Diversified Trader Index Month 7 1.22 12/1996 IASG CTA Index Month 8 1.22 12/1996 Systematic Trader Index Month 4 1.19 7/1996 Diversified Trader Index Month 4 1.19 7/1996 IASG CTA Index Month 5 1.19 7/1996 Systematic Trader Index Month 5 4.14 6/1996 Diversified Trader Index Month 7 4.14 6/1996 IASG CTA Index Month 8 4.14 6/1996 Systematic Trader Index Month 7 7.16 1/1996 IASG CTA Index Month 9 7.16 1/1996 Diversified Trader Index Month 9 7.16 1/1996 IASG CTA Index Sharpe 8 1.11 1994 - 1995 IASG CTA Index 5 Year Rolling 5 107.86 1990 - 1995 Diversified Trader Index Month 9 -0.18 10/1995 Systematic Trader Index Month 9 -0.18 10/1995 IASG CTA Index Month 10 -0.18 10/1995 Systematic Trader Index Month 10 -2.04 7/1995 IASG CTA Index Month 10 1.00 6/1995 Systematic Trader Index Month 9 1.00 6/1995 Diversified Trader Index Month 7 1.00 6/1995 IASG CTA Index 5 Year Rolling 7 139.88 1989 - 1994 Diversified Trader Index Month 8 2.29 12/1994 Systematic Trader Index Month 8 2.29 12/1994 IASG CTA Index Sharpe 6 1.09 1993 - 1994 IASG CTA Index Month 10 2.29 12/1994 IASG CTA Index Year Rolling 10 11.55 1993 - 1994 IASG CTA Index 3 Year Rolling 10 47.94 1991 - 1994 Diversified Trader Index Month 6 2.78 10/1994 Systematic Trader Index Month 6 2.78 10/1994 IASG CTA Index Month 8 2.78 10/1994 Systematic Trader Index Month 8 3.57 9/1994 IASG CTA Index Month 9 3.57 9/1994 Diversified Trader Index Month 9 3.57 9/1994 Diversified Trader Index Month 9 -1.64 2/1994 IASG CTA Index Month 10 -1.64 2/1994 Systematic Trader Index Month 9 -1.64 2/1994 Systematic Trader Index Month 9 8.23 12/1993 IASG CTA Index 5 Year Rolling 10 122.22 1988 - 1993 IASG CTA Index 3 Year Rolling 8 43.25 1990 - 1993 Diversified Trader Index Month 7 1.11 9/1993 IASG CTA Index Month 8 1.11 9/1993 Systematic Trader Index Month 6 1.11 9/1993 Systematic Trader Index Month 5 -0.44 12/1992 IASG CTA Index 5 Year Rolling 5 113.74 1987 - 1992 IASG CTA Index Sharpe 4 1.13 1991 - 1992 IASG CTA Index Year Rolling 4 18.52 1991 - 1992 IASG CTA Index 3 Year Rolling 7 92.18 1989 - 1992 IASG CTA Index Month 9 -0.44 12/1992 Diversified Trader Index Month 8 -0.44 12/1992 IASG CTA Index Month 8 2.63 11/1992 Systematic Trader Index Month 7 2.63 11/1992 Diversified Trader Index Month 7 2.63 11/1992 IASG CTA Index Month 8 0.04 9/1992 Diversified Trader Index Month 8 0.04 9/1992 Systematic Trader Index Month 6 0.04 9/1992 Systematic Trader Index Month 10 6.92 8/1992 IASG CTA Index Month 4 13.93 6/1992 Systematic Trader Index Month 4 13.93 6/1992 Diversified Trader Index Month 4 13.93 6/1992 Systematic Trader Index Month 6 1.05 5/1992 Diversified Trader Index Month 6 1.05 5/1992 IASG CTA Index Month 7 1.05 5/1992 IASG CTA Index Month 9 -0.47 4/1992 Systematic Trader Index Month 8 -0.47 4/1992 Diversified Trader Index Month 8 -0.47 4/1992 Systematic Trader Index Month 10 -0.46 3/1992 IASG CTA Index Month 10 -0.46 3/1992 Diversified Trader Index Month 9 -0.46 3/1992 Systematic Trader Index Month 5 -1.05 2/1992 IASG CTA Index Month 6 -1.05 2/1992 Diversified Trader Index Month 4 -1.05 2/1992 Systematic Trader Index Month 10 -8.16 1/1992 Diversified Trader Index Month 10 -8.16 1/1992 IASG CTA Index 3 Year Rolling 10 67.56 1988 - 1991 IASG CTA Index Year Rolling 9 8.01 1990 - 1991 IASG CTA Index 5 Year Rolling 5 155.18 1986 - 1991 IASG CTA Index Sharpe 9 1.14 1990 - 1991 Diversified Trader Index Month 10 -0.10 10/1991 Diversified Trader Index Month 10 -3.84 7/1991 Systematic Trader Index Month 10 1.98 6/1991 IASG CTA Index Month 8 -0.80 5/1991 Systematic Trader Index Month 6 -0.80 5/1991 Diversified Trader Index Month 6 -0.80 5/1991 IASG CTA Index Month 5 0.16 4/1991 Diversified Trader Index Month 4 0.16 4/1991 Systematic Trader Index Month 2 0.16 4/1991 Systematic Trader Index Month 7 3.05 3/1991 IASG CTA Index Month 8 3.05 3/1991 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel