Millburn Ridgefield was an early trend following pioneer. They have been trading trend following models since the early 1970’s. More:
Ever since the latest phase in Millburn’s strategy evolution began in 2013, its flagship diversified strategies have delivered a Sharpe ratio near one. These strategies have also significantly outperformed most traditional CTAs, including positive performance in each of the last five consecutive calendar years. Beyond this, Millburn’s niche, relative value commodity strategy (which is now soft closed) has produced some truly exceptional returns. Investors have clearly appreciated the performance — AuM has grown steadily over the period to more than USD 6.5 billion today.
Millburn Ridgefield original principals included: Harvey Beker, George E. Crapple, Mark Fitzsimmons, Barry Alan Goodman, Kenneth P. Pearlman and Grant Norman Smith.
One of the Oldest Systematic CTAs in the World
Millburn Ridgefield began trading systematic trend following models in the early 1970s, placing it in the founding generation of systematic commodity trading alongside firms like Commodities Corporation, Campbell and Company, and the early operations of John W. Henry. Most of the managed futures firms that dominate the industry today were founded in the 1980s or later. Millburn pre-dates almost all of them by a decade.
That longevity is significant for two reasons. First, it means the Millburn track record spans market environments that no fund founded after 1980 has experienced: the commodity bull markets of the 1970s, the inflationary regimes of that decade, the regime changes of the 1980s, and every subsequent market cycle through to the present. A system that has survived and produced returns across fifty years of varied market conditions is not a curve-fitted artefact of a single era. It reflects a methodology that captures something real about how markets behave across time.
Second, longevity creates institutional credibility. Institutional allocators do not place capital with firms that have three-year track records when firms with fifty-year track records are available in the same strategy space. Millburn’s age is itself a competitive advantage in the capital-raising environment.
The Sharpe Ratio Near One: Why It Matters
A Sharpe ratio near one means that for every unit of risk the flagship strategies take, they produce approximately one unit of return above the risk-free rate. That is not a spectacular number by the standards of a concentrated hedge fund that bets big on a few ideas. But for a diversified systematic trend following operation trading dozens of markets across currencies, commodities, bonds, and equities, a sustained Sharpe near one is an outstanding risk-adjusted result.
The TurtleTrader rules were built around the same goal: not to maximise return in any given year, but to produce consistent returns with controlled drawdowns across many years. Dennis and Eckhardt were optimising for survival and compounding, not for peak performance. Millburn’s fifty-year record of remaining in business and continuing to grow is the ultimate expression of that philosophy applied at institutional scale.
The Original Millburn Principals
The founding team of Harvey Beker, George E. Crapple, Mark Fitzsimmons, Barry Alan Goodman, Kenneth P. Pearlman, and Grant Norman Smith built Millburn from the ground up in an era when systematic trading had no industry infrastructure, no commercial data vendors, and no established models for how to manage client capital in futures markets. They were building the tools as they were building the firm. The fact that the firm they built is still operating, still systematic, and still growing fifty years later is a statement about the quality of the foundation they laid.
Millburn and the Trend Following Ecosystem
Millburn occupies a particular position in the trend following ecosystem: it is one of the few firms with deep enough roots to serve as a historical anchor for the entire industry. When researchers and allocators want to understand what systematic trend following looks like across a full market cycle, Millburn’s record is one of the primary reference points.
The firm’s evolution also illustrates what systematic trading looks like over decades. The Hedge Fund Journal excerpt notes that a strategy evolution that began in 2013 produced a sustained improvement in risk-adjusted performance. A fifty-year-old firm that can execute a meaningful strategy evolution and improve its Sharpe ratio is not a firm that has been standing still. It is one that continues to apply the same empirical rigour that produced its original results to the ongoing challenge of trading an evolving market landscape.
Frequently Asked Questions About Millburn Ridgefield
Who founded Millburn Ridgefield Corporation?
Millburn Ridgefield was founded by Harvey Beker, George E. Crapple, Mark Fitzsimmons, Barry Alan Goodman, Kenneth P. Pearlman, and Grant Norman Smith. The firm began trading systematic trend following models in the early 1970s, making it one of the oldest CTAs in the managed futures industry.
What is Millburn Ridgefield’s investment approach?
Millburn trades systematic trend following strategies across diversified global futures markets including currencies, commodities, bonds, and equities. The flagship diversified strategies have delivered a Sharpe ratio near one since a strategy evolution that began in 2013. The firm also operated a relative value commodity strategy that has since been soft closed.
How large is Millburn Ridgefield?
Millburn has grown to more than USD 6.5 billion in assets under management, reflecting the sustained institutional interest in its long-term track record and risk-adjusted performance. The firm’s scale puts it among the larger systematic CTAs in the industry.
Why does Millburn’s long history matter?
A track record spanning fifty years covers market environments that no younger firm has experienced. It provides evidence that the systematic trend following approach captures something real and durable about market behaviour, not something specific to a particular era. For institutional allocators, it is one of the most credible long-term track records available in the managed futures space. See the TurtleTrader rules for the underlying philosophy that firms like Millburn have applied over decades.
Trend Following Systems
Want to learn more and start trading trend following systems? Start here.
