Millburn Multi-Markets Fund L.P. Annual Report: A Simple Breakdown

I’m here to help you understand the latest annual report for the Millburn Multi-Markets Fund. We will skip the complex financial jargon and focus on how the fund performed and what it means for your money.

1. What does this fund do?

Millburn pools money from investors to trade a wide variety of global assets. They trade futures, options, and forward contracts across more than 100 markets, including major currencies, metals like gold and copper, energy products, and global stock market indexes.

The fund uses computer programs to make trading decisions. These algorithms study historical price trends and market patterns. By relying on math rather than human emotion, the system executes trades automatically.

2. How did they perform?

As of December 31, 2025, the fund manages about $102.6 million. Since starting in 2009, Series A units have grown by 23.22%. This means an initial $1,000 investment grew to $1,232.18. Other series, such as B and C, have performed better, with values rising over 60% to more than $1,600. These figures represent the value of your investment after all fees and costs are paid.

3. How do they manage risk?

Millburn uses a strict, math-based approach to protect your capital during market swings:

• Diversification: They limit how much of the portfolio is tied to any single market or sector. No single area can account for more than 3% of the fund’s total risk.
• Position Sizing: The system adjusts trade sizes based on market volatility. If a market becomes unstable, the algorithm automatically reduces the position size to keep risk steady.
• No "Pyramiding": The fund does not use paper profits to increase bets in the same market. This keeps leverage conservative and prevents over-exposure to one asset.

4. What are the costs to invest?

The fee structure is designed to align the fund managers' interests with yours:

• Management Fee: You pay an annual fee of 1.75% of your investment value, charged monthly.
• Profit Share: The managers take 20% of the new trading profits. They only collect this if the fund’s value reaches a new all-time high.
• Operating Expenses: You pay a share of the fund’s administrative, legal, and audit costs, which typically adds 0.20% to 0.50% per year.

5. Key risks to watch

• Model Failure: The fund relies entirely on its computer programs. If market patterns change unexpectedly, the models may fail and cause losses.
• The "Human" Element: While trading is mostly automated, managers can manually override the system during emergencies, which introduces the risk of human error.
• Regulatory Changes: The fund must follow strict government rules. New laws regarding trading limits or taxes could increase costs or force the fund to stop certain strategies.

6. The Bottom Line

Millburn is a sophisticated, math-driven firm with over 50 years of experience. They are disciplined about risk, but this is not a standard mutual fund. It is a speculative investment that could result in the loss of your entire principal.

Before you decide: Think of this as a way to add a different type of strategy to your portfolio, rather than a place to park your primary savings. Because this fund uses complex automated strategies, make sure you are comfortable with the possibility of market volatility before committing your capital.