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

Year-to-Date: 14.21%
Aug Performance: 1.26%

Min Investment: $ 100k
Mgmt. Fee: 0%
Perf. Fee: 25.00%

Annualized Vol: 35.22%
Sharpe (RFR=1%): 0.40
CAROR: 9.26%

Assets: $ 36.0M
Worst DD: -52.07
S&P Correlation: -0.16

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Growth of 1,000 - VAMI

Monthly Performance

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	Aug	Qtr	YTD	1yr	3yr	5yr	10yr	Since 6/1994
D'Best Futures Fund, L.P.	1.26	-3.69	14.21	-11.56	30.34	7.05	52.95	921.91
S&P 500	7.01	14.98	8.34	19.61	40.39	75.68	230.13	679.78
+/- S&P 500	-5.75	-18.67	5.87	-31.17	-10.06	-68.63	-177.18	242.13

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%

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%

Summary

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.

Compare to:

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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

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
69.64	7	2/1/2019	8/1/2019
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
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
21.94	4	1/1/2020	4/1/2020
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	11/1/2019	11/1/2019
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
1.26	1	8/1/2020	8/1/2020
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

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
-23.69	2	9/1/2019	10/1/2019
-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
-7.51	3	5/1/2020	7/1/2020
-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	12/1/2019	12/1/2019
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	315.00	313.00	310.00	304.00	298.00	292.00	280.00	268.00	256.00
Percent Profitable	51.75	50.48	53.55	61.51	64.43	63.36	72.14	81.72	92.58
Average Period Return	1.25	3.73	7.32	13.90	19.53	25.87	38.02	49.64	62.61
Average Gain	8.78	17.49	24.08	31.52	38.57	49.76	58.74	64.34	68.64
Average Loss	-6.83	-10.29	-12.01	-14.28	-14.97	-15.44	-15.66	-16.04	-12.67
Best Period	34.42	81.90	113.67	130.77	164.49	236.91	217.04	238.86	187.03
Worst Period	-28.35	-25.42	-34.14	-43.58	-40.10	-46.36	-42.30	-42.28	-36.35
Standard Deviation	10.17	18.87	24.97	31.97	35.87	44.52	52.01	52.84	49.89
Gain Standard Deviation	7.17	16.65	22.35	27.89	30.35	38.91	46.53	46.98	46.77
Loss Standard Deviation	5.73	6.83	8.27	11.01	9.96	9.75	10.23	10.97	10.71
Sharpe Ratio (1%)	0.11	0.18	0.27	0.40	0.50	0.54	0.67	0.86	1.15
Average Gain / Average Loss	1.29	1.70	2.00	2.21	2.58	3.22	3.75	4.01	5.42
Profit / Loss Ratio	1.38	1.73	2.31	3.53	4.67	5.57	9.72	17.93	67.56
Downside Deviation (10%)	6.41	9.42	11.36	13.80	14.74	16.69	17.77	17.36	13.14
Downside Deviation (5%)	6.23	8.83	10.21	11.67	11.47	12.09	11.23	9.77	5.63
Downside Deviation (0%)	6.19	8.69	9.93	11.17	10.71	11.04	9.85	8.28	4.47
Sortino Ratio (10%)	0.13	0.27	0.43	0.64	0.81	0.94	1.25	1.62	2.66
Sortino Ratio (5%)	0.19	0.39	0.67	1.11	1.57	1.97	3.12	4.66	10.21
Sortino Ratio (0%)	0.20	0.43	0.74	1.24	1.82	2.34	3.86	5.99	14.01

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	Annual	7	37.63	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	Annual	4	126.74	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	Annual	7	55.49	2002
IASG CTA Index	3 Year	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.

^#4

Top Performer

SYSTEMATIC TRADER INDEX

SEPTEMBER
2015

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Portfolios 34
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DUNN Capital Management : D'Best Futures Fund, L.P.

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

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Strategy

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Investment Strategy

Risk Management

Drawdown Report

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Time Windows Analysis

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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