Lumyna - Millburn Diversified UCITS

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.