DUNN Capital Management : DUNN Combined Fund (DCF) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance -6.43% Min Investment $ 100k Mgmt. Fee 0% Perf. Fee 25.00% Annualized Vol 33.35% Sharpe (RFR=1%) 0.45 CAROR 11.30% Assets $ 17.0M Worst DD -71.10 S&P Correlation -0.08 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jul Qtr 2020 1yr 3yr 5yr 10yr Since5/1989 DUNN Combined Fund (DCF) -6.43 - - - - - -18.61 1,394.22 S&P 500 -1.51 - - - - - 75.21 1,059.82 +/- S&P 500 -4.92 - - - - - -93.82 334.40 Strategy Description SummaryDUNN Combined Financial Program (DCF) The DUNN Combined Financial Program is a 50-50 combination, rebalanced monthly, of World Monetary Assets (WMA) and Targets of Opportunity (TOPS), plus an enrichment factor which varies between 0 -15%. Currently, the enrichment factor is 4%. This... 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 $0 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough 0% 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 50.00% Trend-following 50.00% Composition Interest Rates 26.00% Stock Indices 21.00% Currency Futures 13.00% Energy 12.00% Grains 10.00% Softs 7.00% Livestock 6.00% Precious Metals 5.00% SummaryDUNN Combined Financial Program (DCF) The DUNN Combined Financial Program is a 50-50 combination, rebalanced monthly, of World Monetary Assets (WMA) and Targets of Opportunity (TOPS), plus an enrichment factor which varies between 0 -15%. Currently, the enrichment factor is 4%. This enrichment policy is based on the principle that an investor can increase their rate of return, without increasing its risk of loss, by combining two (or more) trading systems with less than 100% correlation. The WMA and TOPS trading systems have a correlation coefficient of 0.75. The track record for DCF from May 1989 through March 1999 is based on all of the actual trades undertaken by WMA and TOPS during that time period; however, it is termed "pro forma" because it was not until April 1999 that the first formal DCF account (which involves rebalancing between WMA & TOPS each month) was opened. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -71.10 54 - 2/1/2003 8/1/2007 -36.30 7 10 6/1/1994 1/1/1995 -34.20 12 3 9/1/1999 9/1/2000 -29.11 3 5 7/1/1989 10/1/1989 -28.58 6 3 10/1/2001 4/1/2002 -24.29 2 3 9/1/2002 11/1/2002 -23.94 4 3 3/1/2001 7/1/2001 -20.73 4 3 12/1/1991 4/1/1992 -19.99 3 8 10/1/1998 1/1/1999 -19.79 2 2 3/1/1997 5/1/1997 -18.99 3 2 5/1/1996 8/1/1996 -18.07 5 3 8/1/1992 1/1/1993 -18.06 1 2 1/1/1996 2/1/1996 -15.84 4 1 3/1/1998 7/1/1998 -15.38 2 7 3/1/1991 5/1/1991 -14.24 1 5 7/1/1997 8/1/1997 -9.01 2 2 11/1/1990 1/1/1991 -8.36 1 1 11/1/1996 12/1/1996 -6.89 2 1 12/1/1993 2/1/1994 -4.04 3 1 8/1/1993 11/1/1993 -3.96 1 1 4/1/1990 5/1/1990 -3.04 1 1 1/1/1998 2/1/1998 -2.35 1 1 5/1/1993 6/1/1993 -0.13 1 1 7/1/1990 8/1/1990 Show More Consecutive Gains Run-up Length (Mos.) Start End 98.44 6 9/1/2007 2/1/2008 90.67 5 5/1/2002 9/1/2002 86.31 6 10/1/2000 3/1/2001 65.26 3 9/1/1996 11/1/1996 61.21 5 8/1/2008 12/1/2008 53.53 4 5/1/1992 8/1/1992 51.15 3 2/1/2010 4/1/2010 50.08 4 10/1/1995 1/1/1996 45.92 3 8/1/1998 10/1/1998 45.22 3 2/1/1995 4/1/1995 43.84 3 8/1/2001 10/1/2001 39.41 3 12/1/2002 2/1/2003 38.61 4 1/1/1990 4/1/1990 36.83 6 1/1/2013 6/1/2013 35.19 2 11/1/1991 12/1/1991 33.37 2 6/1/1997 7/1/1997 31.53 3 1/1/1997 3/1/1997 30.46 3 5/1/1989 7/1/1989 26.17 2 3/1/2006 4/1/2006 26.11 3 3/1/1996 5/1/1996 24.62 4 3/1/1994 6/1/1994 24.08 2 2/1/1991 3/1/1991 24.06 3 10/1/2013 12/1/2013 23.40 5 2/1/1999 6/1/1999 22.71 2 5/1/2005 6/1/2005 20.54 2 10/1/2004 11/1/2004 18.52 1 2/1/1993 2/1/1993 18.01 1 10/1/2010 10/1/2010 17.34 3 4/1/2007 6/1/2007 15.95 2 12/1/2010 1/1/2011 15.81 2 6/1/1990 7/1/1990 15.77 1 8/1/2010 8/1/2010 13.31 2 4/1/1993 5/1/1993 12.90 2 8/1/2009 9/1/2009 11.91 1 2/1/2004 2/1/2004 11.88 1 8/1/1995 8/1/1995 11.76 2 8/1/1991 9/1/1991 11.47 2 4/1/2003 5/1/2003 11.43 1 7/1/2011 7/1/2011 10.90 3 11/1/1997 1/1/1998 10.68 1 11/1/2009 11/1/2009 10.60 1 8/1/2003 8/1/2003 8.63 2 7/1/1993 8/1/1993 8.14 1 8/1/2004 8/1/2004 8.11 2 3/1/2012 4/1/2012 7.88 1 11/1/1989 11/1/1989 7.36 1 6/1/2008 6/1/2008 7.02 1 6/1/1991 6/1/1991 6.96 2 4/1/2009 5/1/2009 6.86 1 8/1/2013 8/1/2013 6.84 2 10/1/2005 11/1/2005 6.78 2 12/1/2001 1/1/2002 6.20 1 9/1/1997 9/1/1997 5.35 3 9/1/1990 11/1/1990 4.83 1 12/1/1993 12/1/1993 4.51 2 8/1/1999 9/1/1999 4.50 1 8/1/2000 8/1/2000 3.91 1 12/1/1998 12/1/1998 3.60 1 11/1/2006 11/1/2006 3.51 1 1/1/2000 1/1/2000 3.46 1 3/1/1998 3/1/1998 3.15 1 4/1/2011 4/1/2011 2.86 1 3/1/1992 3/1/1992 2.61 1 2/1/2009 2/1/2009 2.35 1 11/1/2011 11/1/2011 1.87 1 1/1/2007 1/1/2007 1.50 1 10/1/1994 10/1/1994 1.45 1 11/1/1999 11/1/1999 1.27 1 6/1/2014 6/1/2014 0.55 1 3/1/2002 3/1/2002 0.25 1 10/1/1993 10/1/1993 0.24 1 5/1/2001 5/1/2001 Show More Consecutive Losses Run-up Length (Mos.) Start End -41.03 2 7/1/2007 8/1/2007 -32.08 8 5/1/2012 12/1/2012 -31.24 2 12/1/2009 1/1/2010 -30.90 5 3/1/2004 7/1/2004 -29.11 3 8/1/1989 10/1/1989 -26.80 6 2/1/2000 7/1/2000 -26.14 3 7/1/1994 9/1/1994 -24.56 1 11/1/2001 11/1/2001 -24.29 2 10/1/2002 11/1/2002 -23.96 5 12/1/2004 4/1/2005 -23.69 6 5/1/2006 10/1/2006 -21.70 5 9/1/2003 1/1/2004 -20.56 1 3/1/2003 3/1/2003 -19.79 2 4/1/1997 5/1/1997 -18.99 3 6/1/1996 8/1/1996 -18.07 5 9/1/1992 1/1/1993 -18.06 1 2/1/1996 2/1/1996 -17.88 2 1/1/1992 2/1/1992 -17.16 2 2/1/2007 3/1/2007 -16.34 1 1/1/1999 1/1/1999 -15.84 4 4/1/1998 7/1/1998 -15.75 3 3/1/2008 5/1/2008 -15.56 2 6/1/2009 7/1/2009 -15.38 2 4/1/1991 5/1/1991 -15.03 3 11/1/1994 1/1/1995 -14.37 3 12/1/2005 2/1/2006 -14.24 1 8/1/1997 8/1/1997 -14.19 3 7/1/2005 9/1/2005 -13.97 5 1/1/2014 5/1/2014 -12.98 2 6/1/2001 7/1/2001 -12.81 1 4/1/2001 4/1/2001 -11.97 2 2/1/2011 3/1/2011 -11.63 1 11/1/2010 11/1/2010 -11.58 2 6/1/2003 7/1/2003 -11.47 3 5/1/2010 7/1/2010 -10.50 3 12/1/2011 2/1/2012 -9.49 1 9/1/2013 9/1/2013 -9.01 2 12/1/1990 1/1/1991 -8.90 1 7/1/2008 7/1/2008 -8.36 1 12/1/1996 12/1/1996 -8.33 1 10/1/1999 10/1/1999 -7.96 1 11/1/1998 11/1/1998 -7.89 3 5/1/1995 7/1/1995 -7.57 3 8/1/2011 10/1/2011 -7.40 1 10/1/1991 10/1/1991 -6.89 2 1/1/1994 2/1/1994 -6.74 1 2/1/2002 2/1/2002 -6.73 1 10/1/2009 10/1/2009 -6.73 1 3/1/2009 3/1/2009 -6.43 1 7/1/2014 7/1/2014 -6.15 1 4/1/1992 4/1/1992 -5.99 1 9/1/2000 9/1/2000 -5.45 1 4/1/2002 4/1/2002 -5.40 1 9/1/1995 9/1/1995 -4.94 1 12/1/1999 12/1/1999 -4.91 2 5/1/2011 6/1/2011 -4.26 1 1/1/2009 1/1/2009 -3.96 1 5/1/1990 5/1/1990 -3.92 1 7/1/2013 7/1/2013 -3.17 1 7/1/1991 7/1/1991 -3.04 1 2/1/1998 2/1/1998 -3.03 1 9/1/2010 9/1/2010 -2.64 1 7/1/1999 7/1/1999 -2.35 1 6/1/1993 6/1/1993 -2.27 1 11/1/1993 11/1/1993 -2.06 1 9/1/1993 9/1/1993 -1.21 1 12/1/1989 12/1/1989 -0.91 1 12/1/2006 12/1/2006 -0.82 1 3/1/1993 3/1/1993 -0.13 1 8/1/1990 8/1/1990 -0.10 1 10/1/1997 10/1/1997 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods303.00301.00298.00292.00286.00280.00268.00256.00244.00 Percent Profitable51.1651.5056.7164.7369.5871.7976.1282.0386.07 Average Period Return1.354.067.7615.6723.3131.3950.8471.8593.03 Average Gain8.5816.8222.7232.9041.6651.4773.5293.26112.64 Average Loss-6.31-9.49-11.84-15.96-18.67-19.70-21.47-25.86-28.05 Best Period32.0265.2698.44112.47158.96226.62282.42333.34339.38 Worst Period-25.15-38.15-35.01-43.62-44.57-50.03-49.92-66.62-65.33 Standard Deviation9.6317.9023.2630.9038.4748.1064.4179.0294.83 Gain Standard Deviation7.0415.4619.5923.9731.0641.5956.8070.5787.32 Loss Standard Deviation5.057.098.3310.2110.9212.5914.4018.8119.20 Sharpe Ratio (1%)0.130.210.310.470.570.610.740.860.93 Average Gain / Average Loss1.361.771.922.062.232.613.423.614.02 Profit / Loss Ratio1.441.882.513.785.106.6510.9216.4724.80 Downside Deviation (10%)5.838.9410.8913.8415.7217.3219.7722.0122.93 Downside Deviation (5%)5.658.389.7811.7412.6413.3113.8614.9414.26 Downside Deviation (0%)5.608.249.5111.2311.9112.4012.6013.5012.63 Sortino Ratio (10%)0.160.320.490.771.001.221.772.292.85 Sortino Ratio (5%)0.220.460.741.251.732.213.454.546.17 Sortino Ratio (0%)0.240.490.821.391.962.534.035.327.37 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 2 7.81 12/2013 Diversified Trader Index Month 5 7.81 12/2013 Systematic Trader Index Month 6 7.81 12/2013 IASG CTA Index Month 8 7.81 12/2013 Trend Following Strategy Index Month 1 11.61 11/2013 Systematic Trader Index Month 1 11.61 11/2013 Diversified Trader Index Month 1 11.61 11/2013 IASG CTA Index Month 2 11.61 11/2013 Trend Following Strategy Index Month 2 6.86 8/2013 Systematic Trader Index Month 4 6.86 8/2013 Diversified Trader Index Month 4 6.86 8/2013 IASG CTA Index Month 7 6.86 8/2013 Trend Following Strategy Index Month 6 12.67 4/2013 Trend Following Strategy Index Month 6 7.61 2/2013 Diversified Trader Index Month 5 7.61 2/2013 Systematic Trader Index Month 4 7.61 2/2013 IASG CTA Index Month 8 7.61 2/2013 Trend Following Strategy Index Month 9 3.66 4/2012 Trend Following Strategy Index Month 7 4.29 3/2012 Systematic Trader Index Month 7 5.81 1/2011 Diversified Trader Index Month 8 5.81 1/2011 Trend Following Strategy Index Month 3 5.81 1/2011 Trend Following Strategy Index Month 6 18.01 10/2010 Systematic Trader Index Month 8 18.01 10/2010 Diversified Trader Index Month 7 18.01 10/2010 IASG CTA Index Month 8 15.77 8/2010 Systematic Trader Index Month 7 15.77 8/2010 Diversified Trader Index Month 6 15.77 8/2010 Trend Following Strategy Index Month 6 15.77 8/2010 Trend Following Strategy Index Month 2 12.42 4/2010 IASG CTA Index Month 3 12.42 4/2010 Systematic Trader Index Month 3 12.42 4/2010 Diversified Trader Index Month 3 12.42 4/2010 Diversified Trader Index Month 9 13.78 3/2010 Trend Following Strategy Index Month 10 13.78 3/2010 Systematic Trader Index Month 10 13.78 3/2010 Systematic Trader Index Month 3 18.17 2/2010 Diversified Trader Index Month 2 18.17 2/2010 Trend Following Strategy Index Month 1 18.17 2/2010 IASG CTA Index Month 5 18.17 2/2010 Trend Following Strategy Index Month 8 7.61 8/2009 Trend Following Strategy Index Month 10 2.61 2/2009 Systematic Trader Index Month 10 13.42 11/2008 Diversified Trader Index Month 10 13.42 11/2008 Trend Following Strategy Index Month 8 13.42 11/2008 IASG CTA Index Month 3 31.63 2/2008 Trend Following Strategy Index Month 3 31.63 2/2008 Systematic Trader Index Month 3 31.63 2/2008 Diversified Trader Index Month 3 31.63 2/2008 Trend Following Strategy Index Month 6 7.47 5/2007 Diversified Trader Index Month 10 7.47 5/2007 Systematic Trader Index Month 10 7.47 5/2007 Diversified Trader Index Month 7 11.41 3/2006 IASG CTA Index Month 7 11.41 3/2006 Trend Following Strategy Index Month 6 11.41 3/2006 Systematic Trader Index Month 6 11.41 3/2006 Systematic Trader Index Month 6 9.07 6/2005 Trend Following Strategy Index Month 6 9.07 6/2005 Diversified Trader Index Month 6 9.07 6/2005 IASG CTA Index Month 9 9.07 6/2005 Diversified Trader Index Month 4 12.51 5/2005 Trend Following Strategy Index Month 4 12.51 5/2005 IASG CTA Index Month 4 12.51 5/2005 Systematic Trader Index Month 4 12.51 5/2005 Trend Following Strategy Index Month 4 10.66 10/2004 IASG CTA Index Month 6 10.66 10/2004 Diversified Trader Index Month 5 10.66 10/2004 Systematic Trader Index Month 5 10.66 10/2004 IASG CTA Index Month 5 8.14 8/2004 Diversified Trader Index Month 3 8.14 8/2004 Systematic Trader Index Month 3 8.14 8/2004 Trend Following Strategy Index Month 2 8.14 8/2004 Trend Following Strategy Index Month 3 10.60 8/2003 Systematic Trader Index Month 2 10.60 8/2003 Diversified Trader Index Month 4 10.60 8/2003 IASG CTA Index Month 5 10.60 8/2003 Trend Following Strategy Index Month 10 13.17 2/2003 Diversified Trader Index Month 4 13.67 9/2002 Systematic Trader Index Month 4 13.67 9/2002 IASG CTA Index Month 4 13.67 9/2002 Trend Following Strategy Index Month 3 13.67 9/2002 Trend Following Strategy Index Month 5 11.39 8/2002 Diversified Trader Index Month 5 11.39 8/2002 Systematic Trader Index Month 6 11.39 8/2002 IASG CTA Index Month 7 11.39 8/2002 Diversified Trader Index Month 5 17.34 7/2002 IASG CTA Index Month 6 17.34 7/2002 Trend Following Strategy Index Month 5 17.34 7/2002 Systematic Trader Index Month 5 17.34 7/2002 Trend Following Strategy Index Month 6 22.12 6/2002 Systematic Trader Index Month 6 22.12 6/2002 Diversified Trader Index Month 6 22.12 6/2002 IASG CTA Index Month 6 22.12 6/2002 Trend Following Strategy Index Month 10 0.66 1/2002 IASG CTA Index Month 8 6.08 12/2001 Trend Following Strategy Index Month 6 6.08 12/2001 Systematic Trader Index Month 6 6.08 12/2001 Diversified Trader Index Month 5 6.08 12/2001 IASG CTA Index Month 6 17.98 10/2001 Diversified Trader Index Month 5 17.98 10/2001 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel