DUNN Capital Management : DUNN Combined Fund (DCF)

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

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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	Since 5/1989
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

Summary

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%

Summary

DUNN 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:

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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	303.00	301.00	298.00	292.00	286.00	280.00	268.00	256.00	244.00
Percent Profitable	51.16	51.50	56.71	64.73	69.58	71.79	76.12	82.03	86.07
Average Period Return	1.35	4.06	7.76	15.67	23.31	31.39	50.84	71.85	93.03
Average Gain	8.58	16.82	22.72	32.90	41.66	51.47	73.52	93.26	112.64
Average Loss	-6.31	-9.49	-11.84	-15.96	-18.67	-19.70	-21.47	-25.86	-28.05
Best Period	32.02	65.26	98.44	112.47	158.96	226.62	282.42	333.34	339.38
Worst Period	-25.15	-38.15	-35.01	-43.62	-44.57	-50.03	-49.92	-66.62	-65.33
Standard Deviation	9.63	17.90	23.26	30.90	38.47	48.10	64.41	79.02	94.83
Gain Standard Deviation	7.04	15.46	19.59	23.97	31.06	41.59	56.80	70.57	87.32
Loss Standard Deviation	5.05	7.09	8.33	10.21	10.92	12.59	14.40	18.81	19.20
Sharpe Ratio (1%)	0.13	0.21	0.31	0.47	0.57	0.61	0.74	0.86	0.93
Average Gain / Average Loss	1.36	1.77	1.92	2.06	2.23	2.61	3.42	3.61	4.02
Profit / Loss Ratio	1.44	1.88	2.51	3.78	5.10	6.65	10.92	16.47	24.80
Downside Deviation (10%)	5.83	8.94	10.89	13.84	15.72	17.32	19.77	22.01	22.93
Downside Deviation (5%)	5.65	8.38	9.78	11.74	12.64	13.31	13.86	14.94	14.26
Downside Deviation (0%)	5.60	8.24	9.51	11.23	11.91	12.40	12.60	13.50	12.63
Sortino Ratio (10%)	0.16	0.32	0.49	0.77	1.00	1.22	1.77	2.29	2.85
Sortino Ratio (5%)	0.22	0.46	0.74	1.25	1.73	2.21	3.45	4.54	6.17
Sortino Ratio (0%)	0.24	0.49	0.82	1.39	1.96	2.53	4.03	5.32	7.37

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.

^#2

Top Performer

TREND FOLLOWING STRATEGY INDEX

DECEMBER
2013

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Blends 30
Portfolios 16
Watchlists 51

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DUNN Capital Management : DUNN Combined Fund (DCF)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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DUNN Capital Management : DUNN Combined Fund (DCF)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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