DUNN Capital Management : DUNN Combined Fund (DCF)

archived programsClosed to new investments
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

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 YTD 1yr 3yr 5yr 10yr Since
5/1989
DUNN Combined Fund (DCF) -6.43 -7.15 - -2.18 -20.05 11.98 34.63 1,394.22
S&P 500 -1.51 2.48 - 14.53 49.38 95.48 75.21 502.26
+/- S&P 500 -4.92 -9.63 - -16.71 -69.43 -83.51 -40.59 891.96

Strategy Description

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... 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%
Strategy Pie Chart

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%
Composition Pie Chart

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.

   

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
-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.