DUNN Capital Management : D'Best Futures Fund, L.P.

Year-to-Date
28.06%
Jun Performance
7.60%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
35.42%
Sharpe (RFR=1%)
0.40
CAROR
9.20%
Assets
$ 32.0M
Worst DD
-52.07
S&P Correlation
-0.14

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/1994
D'Best Futures Fund, L.P. 7.60 15.32 28.06 9.59 -24.11 41.66 55.71 809.23
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 555.31
+/- S&P 500 0.71 11.53 10.72 1.38 -62.85 -6.89 -160.97 253.92

Strategy Description

Summary

D'Best Futures Fund, L.P. is a Delaware limited partnership, which began operations in June 1994. D'Best is a multi advisor pool which allocates its assets to five systematic trading programs, all of which trade global exchange listed futures contracts.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
18%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
34.00%
Technical
14.00%
Trend-following
52.00%
Strategy Pie Chart

Composition

Interest Rates
26.00%
Stock Indices
20.00%
Softs
14.00%
Currency Futures
13.00%
Energy
12.00%
Grains
6.00%
Livestock
4.00%
Precious Metals
3.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

D'Best Futures Fund, L.P. is a Delaware limited partnership, which began operations in June 1994. D'Best is a multi advisor pool which allocates its assets to five systematic trading programs, all of which trade global exchange listed futures contracts.

Investment Strategy

D'Best is a multi advisor pool which allocates its assets to five systematic trading programs. Each program uses a different strategy, ranging from short-term to long-term and from trend-following to pattern recognition.

Risk Management

Since inception, all Dunn programs have targeted a 1% probability of a -20% return or worse in any rolling one-month period.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-52.07 54 14 2/1/2003 8/1/2007
-47.40 22 8 9/1/1998 7/1/2000
-44.88 28 - 7/1/2016 11/1/2018
-38.33 7 3 6/1/1994 1/1/1995
-34.91 14 24 9/1/2011 11/1/2012
-34.76 13 7 12/1/2008 1/1/2010
-34.14 6 3 10/1/2001 4/1/2002
-28.77 7 3 1/1/1996 8/1/1996
-26.72 2 3 9/1/2002 11/1/2002
-25.13 3 8 3/1/2015 6/1/2015
-24.75 4 3 3/1/2001 7/1/2001
-22.54 3 14 3/1/1997 6/1/1997
-12.92 5 2 1/1/2011 6/1/2011
-11.49 3 1 2/1/2016 5/1/2016
-10.22 1 2 10/1/2010 11/1/2010
-10.04 1 3 8/1/1995 9/1/1995
-6.09 1 1 4/1/1995 5/1/1995
-4.86 1 1 1/1/2015 2/1/2015
-3.01 1 1 6/1/1995 7/1/1995
-2.14 1 1 8/1/2010 9/1/2010
-0.33 1 1 1/1/1997 2/1/1997
-0.25 1 1 11/1/1996 12/1/1996
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Consecutive Gains

Run-up Length (Mos.) Start End
108.16 5 5/1/2002 9/1/2002
81.90 3 10/1/2000 12/1/2000
77.07 6 9/1/2007 2/1/2008
70.17 3 2/1/1995 4/1/1995
70.12 5 8/1/2008 12/1/2008
57.45 3 12/1/2002 2/1/2003
56.35 4 10/1/2017 1/1/2018
55.83 3 9/1/1996 11/1/1996
52.85 3 8/1/2001 10/1/2001
45.34 3 11/1/2014 1/1/2015
44.59 2 8/1/1998 9/1/1998
41.02 5 2/1/2010 6/1/2010
33.48 5 2/1/2019 6/1/2019
31.16 4 10/1/1995 1/1/1996
30.33 2 8/1/2014 9/1/2014
28.50 2 3/1/1996 4/1/1996
26.91 5 9/1/1997 1/1/1998
26.72 1 7/1/1997 7/1/1997
26.15 3 4/1/2007 6/1/2007
26.13 2 3/1/2006 4/1/2006
26.13 3 10/1/2013 12/1/2013
23.89 5 12/1/2012 4/1/2013
22.01 3 7/1/2011 9/1/2011
21.38 3 1/1/2004 3/1/2004
20.86 2 10/1/2004 11/1/2004
19.14 2 5/1/2005 6/1/2005
18.98 2 2/1/2001 3/1/2001
17.11 2 6/1/2016 7/1/2016
16.19 3 4/1/1999 6/1/1999
16.01 1 2/1/1999 2/1/1999
15.93 1 7/1/2015 7/1/2015
15.56 1 8/1/2010 8/1/2010
15.53 2 1/1/2016 2/1/2016
14.99 1 10/1/2010 10/1/2010
13.76 1 6/1/1994 6/1/1994
13.60 1 8/1/1995 8/1/1995
13.36 2 12/1/2010 1/1/2011
12.15 1 11/1/2015 11/1/2015
11.45 2 5/1/2008 6/1/2008
11.43 1 1/1/1997 1/1/1997
11.38 2 4/1/2009 5/1/2009
11.12 1 11/1/2009 11/1/2009
10.98 1 5/1/2003 5/1/2003
10.54 2 10/1/2005 11/1/2005
8.92 2 8/1/2009 9/1/2009
8.62 1 9/1/2015 9/1/2015
8.49 1 8/1/2003 8/1/2003
8.46 1 2/1/2017 2/1/2017
7.91 1 8/1/2000 8/1/2000
7.28 1 11/1/2006 11/1/2006
7.08 1 3/1/2015 3/1/2015
7.04 1 6/1/1995 6/1/1995
6.78 1 12/1/2018 12/1/2018
6.06 1 4/1/2018 4/1/2018
5.93 1 12/1/1998 12/1/1998
5.87 1 1/1/2007 1/1/2007
5.52 2 8/1/2018 9/1/2018
5.47 1 3/1/1998 3/1/1998
5.34 1 4/1/2011 4/1/2011
4.71 1 5/1/2015 5/1/2015
4.69 2 4/1/2012 5/1/2012
4.62 1 12/1/2016 12/1/2016
4.24 2 5/1/1998 6/1/1998
4.13 1 8/1/1999 8/1/1999
3.85 1 8/1/2004 8/1/2004
3.71 1 1/1/2000 1/1/2000
3.06 1 6/1/1996 6/1/1996
2.69 1 11/1/1999 11/1/1999
2.59 1 6/1/2018 6/1/2018
2.41 1 3/1/1997 3/1/1997
2.00 2 5/1/2014 6/1/2014
1.65 1 2/1/2009 2/1/2009
1.44 1 11/1/2011 11/1/2011
1.13 1 6/1/2013 6/1/2013
1.03 1 1/1/2012 1/1/2012
0.84 1 8/1/2013 8/1/2013
0.77 1 11/1/1994 11/1/1994
0.64 1 12/1/2001 12/1/2001
0.52 1 5/1/2001 5/1/2001
0.03 1 3/1/2005 3/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.70 4 7/1/1994 10/1/1994
-30.04 6 6/1/2012 11/1/2012
-29.68 2 2/1/2018 3/1/2018
-29.68 2 7/1/2007 8/1/2007
-28.70 2 12/1/2009 1/1/2010
-28.37 6 2/1/2000 7/1/2000
-28.26 4 4/1/2004 7/1/2004
-27.28 1 2/1/1996 2/1/1996
-26.72 2 10/1/2002 11/1/2002
-25.53 4 8/1/2016 11/1/2016
-23.36 2 7/1/1996 8/1/1996
-22.78 2 3/1/2003 4/1/2003
-22.77 2 9/1/1999 10/1/1999
-22.67 1 11/1/2001 11/1/2001
-22.54 3 4/1/1997 6/1/1997
-21.93 7 3/1/2017 9/1/2017
-21.65 2 10/1/2018 11/1/2018
-21.59 6 5/1/2006 10/1/2006
-20.94 1 8/1/1997 8/1/1997
-19.26 1 4/1/1998 4/1/1998
-19.08 1 4/1/2001 4/1/2001
-18.56 2 6/1/2003 7/1/2003
-16.78 1 1/1/1999 1/1/1999
-16.62 2 2/1/2007 3/1/2007
-15.51 1 6/1/2015 6/1/2015
-15.38 4 1/1/2002 4/1/2002
-15.37 1 4/1/2015 4/1/2015
-15.21 2 10/1/1998 11/1/1998
-14.85 4 1/1/2014 4/1/2014
-14.76 2 6/1/2009 7/1/2009
-13.23 3 12/1/2004 2/1/2005
-12.53 4 9/1/2003 12/1/2003
-12.45 3 12/1/2005 2/1/2006
-11.69 2 12/1/1994 1/1/1995
-11.49 3 3/1/2016 5/1/2016
-10.74 2 2/1/2011 3/1/2011
-10.59 1 4/1/2005 4/1/2005
-10.22 1 11/1/2010 11/1/2010
-10.04 1 9/1/1995 9/1/1995
-9.52 1 7/1/2008 7/1/2008
-9.37 1 5/1/2018 5/1/2018
-9.10 3 7/1/2005 9/1/2005
-8.79 1 10/1/2009 10/1/2009
-8.61 2 3/1/2008 4/1/2008
-8.37 1 3/1/2009 3/1/2009
-7.79 1 12/1/2015 12/1/2015
-7.49 2 6/1/2001 7/1/2001
-7.46 1 10/1/2011 10/1/2011
-7.38 2 5/1/2011 6/1/2011
-6.93 1 7/1/1999 7/1/1999
-6.28 1 9/1/2013 9/1/2013
-6.27 1 1/1/2009 1/1/2009
-6.09 1 5/1/1995 5/1/1995
-6.05 1 10/1/2015 10/1/2015
-5.50 1 9/1/2000 9/1/2000
-5.20 1 12/1/1999 12/1/1999
-4.86 1 2/1/2015 2/1/2015
-4.37 1 10/1/2014 10/1/2014
-4.26 2 2/1/2012 3/1/2012
-4.06 1 1/1/2019 1/1/2019
-4.05 1 5/1/2013 5/1/2013
-3.97 1 2/1/1998 2/1/1998
-3.85 1 1/1/2017 1/1/2017
-3.76 1 7/1/2014 7/1/2014
-3.76 1 7/1/2010 7/1/2010
-3.55 1 3/1/1999 3/1/1999
-3.52 1 8/1/2015 8/1/2015
-3.50 1 5/1/1996 5/1/1996
-3.06 1 7/1/2018 7/1/2018
-3.01 1 7/1/1995 7/1/1995
-2.55 1 7/1/2013 7/1/2013
-2.14 1 9/1/2010 9/1/2010
-2.11 1 12/1/2011 12/1/2011
-2.01 1 9/1/2004 9/1/2004
-1.30 1 7/1/1998 7/1/1998
-1.27 1 1/1/2001 1/1/2001
-0.33 1 2/1/1997 2/1/1997
-0.25 1 12/1/1996 12/1/1996
-0.03 1 12/1/2006 12/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods301.00299.00296.00290.00284.00278.00266.00254.00242.00
Percent Profitable51.5050.1752.3660.0063.3862.9572.5685.0494.21
Average Period Return1.253.696.9713.4419.2626.3839.6752.7665.58
Average Gain8.9017.6324.3231.9239.0851.1460.7465.1070.47
Average Loss-6.87-10.35-12.10-14.30-15.05-15.68-16.03-17.42-14.10
Best Period34.4281.90113.67130.77164.49236.91217.04238.86187.03
Worst Period-28.35-25.42-34.14-43.58-40.10-46.36-42.30-42.28-36.35
Standard Deviation10.2219.0525.1632.5136.4045.3952.7352.4849.41
Gain Standard Deviation7.1616.9022.6828.7330.9639.5146.6046.8446.56
Loss Standard Deviation5.756.888.2611.069.959.7210.3511.7611.70
Sharpe Ratio (1%)0.110.180.260.380.490.540.690.931.22
Average Gain / Average Loss1.301.702.012.232.603.263.793.745.00
Profit / Loss Ratio1.381.712.213.354.495.5410.0221.2481.42
Downside Deviation (10%)6.459.5011.5514.0915.0016.9117.8016.3512.09
Downside Deviation (5%)6.278.9110.3911.9211.6812.2711.359.455.37
Downside Deviation (0%)6.238.7710.1011.4110.9011.219.978.104.34
Sortino Ratio (10%)0.130.260.390.600.780.951.341.913.14
Sortino Ratio (5%)0.190.390.621.041.521.993.235.1611.26
Sortino Ratio (0%)0.200.420.691.181.772.353.986.5215.10

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 4 8.62 9/2015
Trend Following Strategy Index Month 5 8.62 9/2015
Diversified Trader Index Month 6 8.62 9/2015
IASG CTA Index Month 7 8.62 9/2015
IASG CTA Index Month 2 15.93 7/2015
Trend Following Strategy Index Month 2 15.93 7/2015
Systematic Trader Index Month 2 15.93 7/2015
Diversified Trader Index Month 2 15.93 7/2015
Diversified Trader Index Month 5 4.71 5/2015
Trend Following Strategy Index Month 4 4.71 5/2015
Systematic Trader Index Month 6 4.71 5/2015
IASG CTA Index Month 9 4.71 5/2015
Systematic Trader Index Month 10 7.08 3/2015
Diversified Trader Index Month 10 7.08 3/2015
Trend Following Strategy Index Month 6 7.08 3/2015
Trend Following Strategy Index Month 10 13.77 1/2015
Trend Following Strategy Index Month 2 19.86 11/2014
Diversified Trader Index Month 2 19.86 11/2014
Systematic Trader Index Month 2 19.86 11/2014
IASG CTA Index Month 2 19.86 11/2014
Trend Following Strategy Index Month 5 12.72 8/2014
Diversified Trader Index Month 5 12.72 8/2014
Systematic Trader Index Month 6 12.72 8/2014
IASG CTA Index Month 7 12.72 8/2014
IASG CTA Index Year Rolling 7 37.63 2012 - 2013
Trend Following Strategy Index Month 3 11.25 11/2013
Systematic Trader Index Month 3 11.25 11/2013
Diversified Trader Index Month 3 11.25 11/2013
IASG CTA Index Month 4 11.25 11/2013
Trend Following Strategy Index Month 5 8.45 10/2013
Systematic Trader Index Month 7 8.45 10/2013
IASG CTA Index Month 10 8.45 10/2013
Diversified Trader Index Month 10 8.45 10/2013
IASG CTA Index Month 10 7.30 2/2013
Diversified Trader Index Month 8 7.30 2/2013
Trend Following Strategy Index Month 8 7.30 2/2013
Systematic Trader Index Month 6 7.30 2/2013
Trend Following Strategy Index Month 8 14.25 7/2011
Systematic Trader Index Month 8 14.25 7/2011
Diversified Trader Index Month 9 14.25 7/2011
Trend Following Strategy Index Month 5 4.37 1/2011
Trend Following Strategy Index Month 8 14.99 10/2010
Systematic Trader Index Month 10 14.99 10/2010
Diversified Trader Index Month 10 14.99 10/2010
Trend Following Strategy Index Month 7 15.56 8/2010
Systematic Trader Index Month 8 15.56 8/2010
IASG CTA Index Month 9 15.56 8/2010
Diversified Trader Index Month 7 15.56 8/2010
Trend Following Strategy Index Month 9 8.28 4/2010
IASG CTA Index Month 6 13.81 2/2010
Systematic Trader Index Month 4 13.81 2/2010
Diversified Trader Index Month 3 13.81 2/2010
Trend Following Strategy Index Month 2 13.81 2/2010
IASG CTA Index Year Rolling 4 126.74 2007 - 2008
Trend Following Strategy Index Month 6 14.06 11/2008
IASG CTA Index Month 8 14.06 11/2008
Systematic Trader Index Month 8 14.06 11/2008
Diversified Trader Index Month 8 14.06 11/2008
Trend Following Strategy Index Month 9 7.36 5/2008
Trend Following Strategy Index Month 10 16.15 1/2008
Trend Following Strategy Index Month 9 7.36 6/2007
Diversified Trader Index Month 5 11.28 5/2007
IASG CTA Index Month 6 11.28 5/2007
Systematic Trader Index Month 5 11.28 5/2007
Trend Following Strategy Index Month 3 11.28 5/2007
Trend Following Strategy Index Month 7 5.87 1/2007
Diversified Trader Index Month 10 5.87 1/2007
Diversified Trader Index Month 10 7.28 11/2006
Systematic Trader Index Month 9 7.28 11/2006
Trend Following Strategy Index Month 8 7.28 11/2006
Diversified Trader Index Month 7 3.10 10/2005
Trend Following Strategy Index Month 7 3.10 10/2005
Systematic Trader Index Month 10 3.10 10/2005
IASG CTA Index Month 6 12.26 5/2005
Trend Following Strategy Index Month 6 12.26 5/2005
Systematic Trader Index Month 6 12.26 5/2005
Diversified Trader Index Month 6 12.26 5/2005
Trend Following Strategy Index Month 3 10.75 10/2004
Diversified Trader Index Month 4 10.75 10/2004
IASG CTA Index Month 5 10.75 10/2004
Systematic Trader Index Month 4 10.75 10/2004
Trend Following Strategy Index Month 10 3.85 8/2004
Systematic Trader Index Month 6 17.11 2/2004
Trend Following Strategy Index Month 6 17.11 2/2004
Diversified Trader Index Month 6 17.11 2/2004
IASG CTA Index Month 7 17.11 2/2004
IASG CTA Index Month 6 8.49 8/2003
Trend Following Strategy Index Month 4 8.49 8/2003
Diversified Trader Index Month 5 8.49 8/2003
Systematic Trader Index Month 3 8.49 8/2003
Systematic Trader Index Month 5 16.62 2/2003
Trend Following Strategy Index Month 5 16.62 2/2003
IASG CTA Index Month 6 16.62 2/2003
Diversified Trader Index Month 6 16.62 2/2003
Trend Following Strategy Index Month 10 12.07 1/2003
Trend Following Strategy Index Month 10 20.47 12/2002
IASG CTA Index Year Rolling 7 55.49 2001 - 2002
IASG CTA Index 3 Year Rolling 4 125.31 1999 - 2002
IASG CTA Index Month 2 18.10 9/2002
Trend Following Strategy Index Month 2 18.10 9/2002

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.