Millburn Ridgefield Corporation : Multi-Markets Program

archived programs
Year-to-Date
2.64%
Jun Performance
1.93%
Min Investment
$ 25,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.39%
Sharpe (RFR=1%)
0.56
CAROR
6.90%
Assets
$ 591.0M
Worst DD
-23.77
S&P Correlation
-0.03

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 Since
10/2004
Multi-Markets Program 1.93 0.33 2.64 10.73 10.95 42.74 52.10 167.49
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 157.60
+/- S&P 500 -4.96 -3.46 -14.70 2.52 -27.79 -5.80 -164.58 9.89

Strategy Description

Summary

Multi-Markets Program is a diversified global portfolio, which began trading in October 2004, designed to capture movements in over 100 global futures and currency markets. Around 65% of portfolio risk is allocated to financial markets and 35% of risk is allocated to commodity markets... 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
1000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
13.29%
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

Fundamental
34.00%
Pattern Recognition
33.00%
Trend-following
33.00%
Strategy Pie Chart

Composition

Currency Futures
28.00%
Stock Indices
22.00%
Interest Rates
19.00%
Other
13.00%
Precious Metals
9.00%
Energy
9.00%
Composition Pie Chart

Summary

Multi-Markets Program is a diversified global portfolio, which began trading in October 2004, designed to capture movements in over 100 global futures and currency markets. Around 65% of portfolio risk is allocated to financial markets and 35% of risk is allocated to commodity markets trading. 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 include 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 Strategy

MMM trades a diversified portfolio of over 100 currency, interest rate, stock index, energy, metal and agricultural commodity futures, forward contracts and options on U.S. and international exchanges and in the interbank currency market. Positions in the instruments traded may be either long or short, providing opportunities in both rising and falling markets. Trading decisions are made pursuant to the quantitative systematic trading methods of Millburn Ridgefield Corporation (“Millburn”), the General Partner. This approach combines trend following & short-term pattern recognition systems, and continuously utilizes new models and adjustments developed by Millburn's research department. These newer models may be introduced more quickly and may have higher weightings in MMM than is the case with Millburn's other programs.

   

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
-23.77 28 29 4/1/2011 8/1/2013
-13.29 2 5 6/1/2007 8/1/2007
-12.68 4 10 2/1/2009 6/1/2009
-11.07 5 7 4/1/2006 9/1/2006
-10.52 3 5 4/1/2010 7/1/2010
-9.65 4 9 10/1/2017 2/1/2018
-8.53 4 4 12/1/2004 4/1/2005
-7.15 2 2 6/1/2008 8/1/2008
-5.00 2 4 4/1/2017 6/1/2017
-3.89 2 2 2/1/2008 4/1/2008
-3.59 4 4 7/1/2016 11/1/2016
-2.99 1 1 2/1/2011 3/1/2011
-2.69 1 - 4/1/2019 5/1/2019
-2.19 2 2 2/1/2016 4/1/2016
-2.04 1 1 9/1/2005 10/1/2005
-1.48 1 2 12/1/2018 1/1/2019
-0.34 1 1 1/1/2006 2/1/2006
-0.30 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
20.20 6 9/1/2008 2/1/2009
20.19 4 3/1/2007 6/1/2007
16.86 3 12/1/2007 2/1/2008
14.06 5 5/1/2005 9/1/2005
13.48 3 11/1/2005 1/1/2006
12.84 4 11/1/2015 2/1/2016
11.96 4 10/1/2006 1/1/2007
11.20 2 9/1/2007 10/1/2007
11.19 5 8/1/2018 12/1/2018
10.18 3 2/1/2010 4/1/2010
9.98 3 8/1/2010 10/1/2010
9.24 3 5/1/2016 7/1/2016
8.92 2 5/1/2008 6/1/2008
8.29 3 7/1/2009 9/1/2009
8.24 3 10/1/2004 12/1/2004
8.23 2 3/1/2006 4/1/2006
8.23 3 4/1/2014 6/1/2014
8.05 4 8/1/2014 11/1/2014
6.18 3 1/1/2015 3/1/2015
5.94 4 3/1/2018 6/1/2018
5.51 1 7/1/2015 7/1/2015
5.43 1 4/1/2011 4/1/2011
5.40 1 12/1/2010 12/1/2010
5.04 3 2/1/2019 4/1/2019
4.93 2 7/1/2017 8/1/2017
4.81 3 11/1/2012 1/1/2013
4.79 3 2/1/2017 4/1/2017
4.67 1 7/1/2012 7/1/2012
4.65 1 2/1/2014 2/1/2014
4.64 1 11/1/2009 11/1/2009
4.49 3 9/1/2013 11/1/2013
4.12 1 7/1/2011 7/1/2011
3.58 2 3/1/2013 4/1/2013
3.57 1 10/1/2017 10/1/2017
3.45 1 9/1/2015 9/1/2015
3.17 2 4/1/2012 5/1/2012
2.41 1 2/1/2011 2/1/2011
2.33 2 11/1/2011 12/1/2011
2.31 1 2/1/2005 2/1/2005
1.93 1 6/1/2019 6/1/2019
1.24 1 9/1/2016 9/1/2016
1.23 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.29 2 7/1/2007 8/1/2007
-13.05 4 5/1/2013 8/1/2013
-12.68 4 3/1/2009 6/1/2009
-11.07 5 5/1/2006 9/1/2006
-10.52 3 5/1/2010 7/1/2010
-9.65 4 11/1/2017 2/1/2018
-9.36 2 5/1/2011 6/1/2011
-8.11 2 3/1/2005 4/1/2005
-7.37 3 1/1/2012 3/1/2012
-7.32 3 8/1/2012 10/1/2012
-7.15 2 7/1/2008 8/1/2008
-6.87 3 4/1/2015 6/1/2015
-5.00 2 5/1/2017 6/1/2017
-4.99 3 8/1/2011 10/1/2011
-3.89 2 12/1/2013 1/1/2014
-3.89 2 3/1/2008 4/1/2008
-3.82 2 12/1/2009 1/1/2010
-3.70 1 6/1/2012 6/1/2012
-3.45 2 10/1/2016 11/1/2016
-3.36 1 11/1/2010 11/1/2010
-3.11 1 8/1/2015 8/1/2015
-2.99 1 3/1/2011 3/1/2011
-2.98 1 7/1/2018 7/1/2018
-2.87 1 11/1/2007 11/1/2007
-2.83 1 10/1/2015 10/1/2015
-2.80 1 2/1/2007 2/1/2007
-2.70 1 1/1/2005 1/1/2005
-2.69 1 5/1/2019 5/1/2019
-2.19 1 10/1/2009 10/1/2009
-2.19 2 3/1/2016 4/1/2016
-2.04 1 10/1/2005 10/1/2005
-1.67 1 9/1/2017 9/1/2017
-1.48 1 1/1/2019 1/1/2019
-1.43 1 2/1/2013 2/1/2013
-1.37 1 8/1/2016 8/1/2016
-0.97 1 12/1/2014 12/1/2014
-0.63 1 7/1/2014 7/1/2014
-0.41 1 1/1/2017 1/1/2017
-0.34 1 2/1/2006 2/1/2006
-0.30 1 1/1/2011 1/1/2011
-0.04 1 3/1/2014 3/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods177.00175.00172.00166.00160.00154.00142.00130.00118.00
Percent Profitable58.1966.2962.7973.4978.1380.5280.2877.6988.98
Average Period Return0.611.803.537.1710.5814.2622.0528.1531.99
Average Gain2.904.878.0811.8515.7319.9529.8038.0336.86
Average Loss-2.57-4.24-4.14-5.80-7.80-9.25-9.51-6.26-7.28
Best Period9.1117.3426.2236.7647.4753.6872.4688.78108.63
Worst Period-8.96-10.94-10.55-13.76-18.07-18.59-19.82-13.75-15.98
Standard Deviation3.295.557.4710.2813.4316.6923.0127.4928.70
Gain Standard Deviation1.933.735.217.5410.2113.1318.6022.9826.58
Loss Standard Deviation1.782.993.153.404.215.325.444.085.53
Sharpe Ratio (1%)0.160.280.410.600.680.730.830.880.94
Average Gain / Average Loss1.131.151.952.042.022.163.136.075.06
Profit / Loss Ratio1.572.263.295.667.218.9112.7521.1540.88
Downside Deviation (10%)2.243.624.485.907.739.2912.2214.6015.85
Downside Deviation (5%)2.063.133.423.914.775.486.075.264.52
Downside Deviation (0%)2.023.013.173.454.134.694.853.512.99
Sortino Ratio (10%)0.090.160.240.370.390.430.510.450.28
Sortino Ratio (5%)0.260.500.891.581.902.233.134.585.95
Sortino Ratio (0%)0.300.601.122.082.563.044.558.0110.69

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 10 1.85 9/2018
Diversified Trader Index Month 4 3.36 3/2018
Systematic Trader Index Month 9 3.36 3/2018
IASG CTA Index Month 10 3.36 3/2018
Diversified Trader Index Month 10 4.09 8/2017
IASG CTA Index Sharpe 4 2.88 2003 - 2004

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