Investment Objective
The investment objective of the Millburn Diversified UCITS Fund is to achieve capital appreciation through a fully systematic and quantitative trading approach that seeks to profit from opportunities in a wide array of liquid markets. The Fund seeks to identify opportunities in both rising and falling market environments through the use of a multi-factor, systematic and risk-managed investment approach that extracts information from a variety of price, price-derivative and non-price data sources. Trading in more than 90 global futures and currency instruments, the strategy has historically demonstrated low correlation to traditional long equity and bond investments, as well as strong performance during many periods of stress for such traditional asset classes.
Latest Meeting Note
Meeting Note 21 Nov 2018
We recently met onsite with Millburn in New York to discuss the MLIS Millburn Diversified UCITS fund. The firm's flagship program, Millburn Diversified, was launched in 1977, and materially re-engineered in July 2013 with the introductio... Read more
We recently met onsite with Millburn in New York to discuss the MLIS Millburn Diversified UCITS fund. The firm's flagship program, Millburn Diversified, was launched in 1977, and materially re-engineered in July 2013 with the introduction of a statistical learning framework and multi-factor models. The multi- factor models look to exploit a range of different approaches and data sources including fundamental, seasonality, and volatility. In aggregate these strategies show low correlation to trend following (0.4) helping to smooth out the often volatile nature of pure momentum strategies while driving returns during range bound or choppy market environments. This can be seen in the returns, with the fund exhibiting a relatively high correlation to trend following, but significantly smaller tails, particularly when trend following has struggled.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | 0.1 | 0.6 | 0.8 | 0.1 | 0.2 | 1.0 | 0.2 | 0.3 | 0.6 | 0.9 | 0.3 | 0.4 | 0.7 | |
| 2021 | 0.7 | 0.5 | 0.3 | 0.0 | 0.6 | 0.5 | 0.4 | 0.3 | 0.9 | 0.2 | 0.3 | 0.7 | 0.1 |
