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Latest Research

MLIS Millburn Diversified UCITS

Millburn Ridgefield Corp. are one of the pioneers of quantitative investment management having launched in the early 1970’s. Their flagship strategy, Millburn Diversified Program, has one of the longest track records of any systematic strategy back to 1977. What started out as a simple trend following strategy has evolved over time and now utilises a 100% multi-factor statistical learning approach. The multi-factor models look to exploit a range of different approaches and data sources including momentum, fundamental, seasonality, and volatility. In aggregate these strategies show low correlation to trend following which can help to smooth out the often volatile nature of pure momentum strategies, while driving returns during range bound or choppy market environments. The UCITS fund replicates the flagship strategy (subject to UCITS constraints) and targets a 15% gross vol. level.

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Index Jul 19 MTD YTD 12M 2018
AH Global Index 0.59 -0.2 3.7 -0.4 -4.7
AH Credit Index 0.34 -0.3 3.4 1.4 -2.7
AH Equity Long / Short Index 0.44 -0.7 4.2 -2.0 -4.9
AH Event Driven Index 0.41 -0.3 3.6 1.4 -3.5
AH FX Index -0.32 -0.1 -1.9 -4.0 -1.6
AH Macro Index 0.27 0.0 3.5 1.0 -3.8
AH Managed Futures Index 2.91 1.6 9.2 5.0 -9.3
AH Market Neutral Index -0.15 -0.1 -1.5 -4.2 -3.1
AH Multi Asset Index 0.98 -0.5 8.2 2.1 -6.3