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.
The fund was successfully launched in March 2019 (the offshore fund was launched in 2015) and targets a volatility range of between 6-9% with the portfolio constructed from five primary components – quality compounders, spin-offs, conglomerates, Nordic companies and accounting shorts. The focus is on alpha generation with the team employing a structured, quality oriented investment philosophy. Per Johansson, founder and sole PM leads the idea generation process that is fed by dedicated long and dedicated short investment professionals. Since inception of the strategy it has generated consistent alpha on both sides of the portfolio, delivering strong risk-adjusted returns with 0.05 beta (0.11 correlation) to the MSCI Europe.
Our monthly performance report highlights the ten best and worst performing funds in each strategy, both for the prior month and the year to date. Featured funds this month include:
Jupiter International Financials
For the full report, please download below:
Performance continued to rebound in the second quarter, with the AH Global UCITS index adding 0.9% bringing YTD gains to 3.1%. Helped by the strong rally in equity markets and move lower in bond yields, multi-asset strategies, managed futures and equity long short are all having strong years with the respective AH strategy indices up 7.1%, 6.2%, and 3.8%. There were a number of notable launches during Q2, including Arrowgrass who launched on the IAM platform, raising a solid £103m on day one. On a one year view, several new products have gained significant traction with investors, including the Legg Mason Brandywine Global Enhanced Absolute Return fund which has raised £342m inside 12 months.
MLIS Millburn Diversified UCITS
Bodenholm Absolute Return
Monthly Fund Performance Report - July 2019
Alternative UCITS Quarterly Report: Q2 2019
AH UCITS Index
|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|