CTA List » Millburn Ridgefield Corp's Programs »


2603 Camino Ramon, Suite 200
San Ramon, CA 94583
Toll Free: 888-816-6887
Direct: 925-362-8510
[email protected]

CTAMillburn Ridgefield Corp
ProgramMillburn Diversified Program
Disclosure Document Request Document
Investment Restrictions4.7 Exempt - QEPs Only

Trading Strategy: Systematic Trend-Follower

Principal(s): Harvey Beker, Gregg Buckbinder, George Crapple, Mark Fitzsimmons, Barry Goodman, Dennis Newton & Grant Smith


Mar
Return
YTD
Return
Annual
Compound
ROR1
Current
Losing
Streak2
Worst
Drawdown3
Minimum
Investment
Assets
Under
Mgt
Omega Ratio
%(4)
Annual Threshold
Sharpe Ratio
1% Risk Free
ROR
2.46% 1.44% 14.25% 0.00 % -25.65 % $25,000,000 $3,983,000,000 1.54 0.80

Trading Description: Millburn's currency and futures trading methodology is quantitative and systematic. After observing market behavior and analyzing market relationships, the Investment Committee and Research Staff engineer approaches for investing in global markets that are logical, disciplined and unemotional in application. Computerized trading systems then generate signals which are implemented by Millburn's professional 24-hour trading staff. All trading systems utilized by Millburn have been created at the firm, where research efforts are facilitated by an extensive

More...

Accounting Notes: For performance prior to 1990 please refer to the lastest Millburn Disclosure Document.

MDP, represents the pro forma performance of a fully-funded account traded pursuant to the Program during the period presented. The historical performance of the Program has been retroactively adjusted on a pro forma basis to reflect the cost/fee structure generally charged in connection with managed accounts trading the Program. The purpose of this pro forma presentation is to provide an approximation of the rates of return such accounts would have achieved had they been traded pursuant to this cost/fee structure. However, there are material limitations inherent in pro forma comparisons.

The pro forma calculations were made on a month-to-month basis. That is, the adjustments to fees and income in one month do not affect the actual figures used in the following month for making similar pro forma calculations. The following assumptions were made in calculating the pro forma rates of return: 0.35% pro forma transaction costs incurred by the accounts trading the applicable program; a monthly management fee of 0.167% (a 2% annual rate); an annual profit share of 20%; estimated operating and administrative expenses of 0.25% per annum; and actual interest income earned by the accounts trading the Program. An individual account may have realized more or less favorable results than this performance indicates, depending on the date of investment. Performance results may be estimates, subject to final verification.

Trading Methodology Sector Style Sub-Catagories Holding Period Market Allocation
100% Systematic

Global 55% Long Term
16% Medium Term
14% Short Term

Trading Style Contracts
62% Trend Following
38% Other Including Event & Rel Value
Futures
   
Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2019 -2.05% 1.08% 2.46%   1.44% -2.05%
2018 -2.14% -6.00% 2.57% 0.58% 0.08% 1.12% -2.55% 4.00% 1.28% 0.18% 1.38% 1.43% 1.55% -8.01%
2017 -0.38% 2.67% 0.91% 1.21% -0.58% -4.05% 0.63% 3.73% -1.45% 3.27% -0.45% -0.07% 5.31% -4.61%
2016 4.71% 2.85% -0.01% -2.13% 1.14% 6.33% 1.11% -1.29% 1.02% -2.69% -0.88% 1.14% 11.48% -3.82%
2015 1.50% 0.35% 3.86% -2.98% -0.89% -3.08% 5.43% -3.17% 3.30% -2.20% 3.46% 0.35% 5.57% -6.81%
Show all...

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Investment Information 
Statistics6 
Structure 
        Start Date: 
 Feb-1997
        Currency: 
 US Dollars
        Margin to Equity: (7)
  25%
        New Money: 
 Yes
        Current Assets: 
 $3,983,000,000
        Management Fee:
  2.00%
        Min. Investment: 
 $25,000,000
        Compound ROR1
 14.25 %
        Incentive Fee:
  20.00%
        Fund Minimum: 
 $10,000
        Worst Drawdown: (3) 
 -25.65 %
        Other Fees: 
  brokerage execution commissions incurred
        Notional Funds: 
 No
        Current Losing Streak: (2)
 0.00 %
        Avg Commission: (8) 
  12
 
        Sharpe Ratio 1% RF ROR: (5)
  0.80
        Round Turns per Mil: (9)
  1,000
 
       Calmar Ratio 36 Months: (6) 
  0.46
        Additional Information
        NFA Member:  Yes
Third Party Accountant: internally
        NFA ID:   0000119
Other Memberships:  MFA
 
        Peer Correlations (Autumn Gold Indexes are Non-Investable)
        
Chart
Chart


Footnotes


(P) - Proprietary Trading Results

(C) - Client Trading Results

1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a CTA trades based on account unit rather than on account equity.

     The Annual Compound Rate of Return represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

     Annual Rate of Return is calculated adding each month's return.

2. The Current Losing Streak represents the extent of the Adviso'rs current drawdown.

3. From Start Date of Program - The Worst Peak-to-Valley Drawdown is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

4. Omega Function takes all of the performance data into consideration. The flatter the distribution the more risky the investment. "The distribution mean is where the omega function equals 1. "Omega provides practitioners with an extremely useful tool since it accounts for the non-normal distributions of returns which are commonplace in finance, particularly for alternative investments. ...omega incorporates all the moments of the distribution and is therefore appropriate for investment analysis when returns are not normally distributed. Second, even for normally distributed returns, omega provides additional information since it takes into account the investor's preferences for loss and gain. Finally, omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. It can therefore reduce the estimation error risk." [Abrams, Ray, Ranjan Bhaduri, PHD, CFA, CAIA, and Elizabeth Flores, CAIA. "Litner Revisted: A Quantitative Analysis of Managed Futures for Plan Sponsors, Endowments and Foundations. CME Group (May 2012): 12-14. Print]

5. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

7. Margin to Equity represents the average margin as a percent of a fully funded account.

8. The Average Commission represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

9. Round Turns per Million represent the average number of round turns that would be generated in a $1,000,000 account.

Accounting Notes: For performance prior to 1990 please refer to the lastest Millburn Disclosure Document.

MDP, represents the pro forma performance of a fully-funded account traded pursuant to the Program during the period presented. The historical performance of the Program has been retroactively adjusted on a pro forma basis to reflect the cost/fee structure generally charged in connection with managed accounts trading the Program. The purpose of this pro forma presentation is to provide an approximation of the rates of return such accounts would have achieved had they been traded pursuant to this cost/fee structure. However, there are material limitations inherent in pro forma comparisons.

The pro forma calculations were made on a month-to-month basis. That is, the adjustments to fees and income in one month do not affect the actual figures used in the following month for making similar pro forma calculations. The following assumptions were made in calculating the pro forma rates of return: 0.35% pro forma transaction costs incurred by the accounts trading the applicable program; a monthly management fee of 0.167% (a 2% annual rate); an annual profit share of 20%; estimated operating and administrative expenses of 0.25% per annum; and actual interest income earned by the accounts trading the Program. An individual account may have realized more or less favorable results than this performance indicates, depending on the date of investment. Performance results may be estimates, subject to final verification.

RISK DISCLOSURE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THE RISK OF TRADING COMMODITY FUTURES AND OPTIONS IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES AND OPTIONS CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY FUTURES AND OPTIONS TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

 © 2004 - 2019 Autumngold.com for Novus Investments, LLC
2603 Camino Ramon, Suite 200 * San Ramon, CA 94583 * 925-362-8510 * www.novusinvestments.com