DUNN Capital Management : DUNN WMA Institutional Program

Year-to-Date
7.12%
Oct Performance
-3.02%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
11.08%
Sharpe (RFR=1%)
0.36
CAROR
4.44%
Assets
$ 444.0M
Worst DD
-15.14
S&P Correlation
0.02

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2011
DUNN WMA Institutional Program -3.02 -3.47 7.12 6.14 8.00 24.75 - 42.06
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 139.88
+/- S&P 500 -5.06 -5.39 -14.04 -5.87 -33.42 -24.24 - -97.82

Strategy Description

Summary

DUNN CAPITAL MANAGEMENT, LLC was founded in 1974 by William A. Dunn, Ph.D., a pioneer in managed futures. DUNN’s trading programs are quantitative, statistical and 100% systematic.... 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
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
10%
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

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Stock Indices
20.00%
Grains
13.00%
Currency FX
12.00%
Energy
11.00%
Softs
9.00%
Precious Metals
5.00%
VIX
5.00%
Composition Pie Chart

Summary

DUNN CAPITAL MANAGEMENT, LLC was founded in 1974 by William A. Dunn, Ph.D., a pioneer in managed futures. DUNN’s trading programs are quantitative, statistical and 100% systematic.

Investment Strategy

WMA Institutional is a 100% systematic medium to long-term trend following program, encompassing a portfolio of financial, energy, metal and agricultural futures markets. The investment objective of WMA Institutional is to extract profits from up & down-trends, resulting in a return stream that exhibits very low correlation with traditional asset classes. WMA Institutional targets 1/2 the volatility of DUNN's flagship WMA Program and is expected to average ~11.5% annually over time (vs. ~23% for the standard WMA Program).

Risk Management

RISK PROFILE: Previously: From inception of WMA Institutional in Oct. 2011 through mid-January 2013, the program targeted a 12% annualized volatility. Beginning January 2013, WMA Institutional targets 1/2 the volatility of the WMA Program. Currently: In mid-January 2013 DUNN’s research team implemented a new risk management methodology to replace the previously fixed value at risk “VaR”) target. The new risk management methodology, referred to as the Adaptive Risk Profile (“ARP”), gears the portfolio’s VaR to current market conditions. Under ARP, VaR is recalibrated daily based on a proprietary metric that incorporates trend confidence, volatility and market correlations and serves to size WMA’s portfolio positions accordingly. VaR at the 99% confidence level is in the range of -11% to -4%, with an average VaR of -8%. This risk management methodology improvement is expected to reduce WMA's downside deviation by about 25%, with no adverse impact on upside performance.

   

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
-15.14 10 9 1/1/2018 11/1/2018
-8.97 5 4 5/1/2012 10/1/2012
-8.48 2 - 8/1/2019 10/1/2019
-8.43 5 3 4/1/2013 9/1/2013
-8.42 4 12 7/1/2016 11/1/2016
-8.40 3 3 3/1/2015 6/1/2015
-3.92 6 2 1/1/0001 3/1/2012
-3.43 5 3 12/1/2013 5/1/2014
-3.38 2 2 2/1/2016 4/1/2016
-2.07 1 2 11/1/2015 12/1/2015
-1.95 1 1 9/1/2015 10/1/2015
-1.89 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
24.67 6 8/1/2014 1/1/2015
19.03 7 2/1/2019 8/1/2019
18.05 5 9/1/2017 1/1/2018
16.20 6 11/1/2012 4/1/2013
10.35 3 10/1/2013 12/1/2013
7.92 1 7/1/2015 7/1/2015
6.67 3 5/1/2016 7/1/2016
4.56 1 3/1/2015 3/1/2015
4.16 2 4/1/2012 5/1/2012
3.51 2 11/1/2011 12/1/2011
3.34 2 1/1/2016 2/1/2016
3.29 2 8/1/2018 9/1/2018
3.05 1 11/1/2015 11/1/2015
2.88 1 2/1/2017 2/1/2017
2.81 1 4/1/2018 4/1/2018
2.58 1 5/1/2015 5/1/2015
2.54 1 9/1/2015 9/1/2015
2.04 1 6/1/2014 6/1/2014
2.01 1 12/1/2018 12/1/2018
1.86 1 7/1/2012 7/1/2012
1.20 1 12/1/2016 12/1/2016
1.14 1 4/1/2014 4/1/2014
0.90 1 9/1/2016 9/1/2016
0.75 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.72 2 2/1/2018 3/1/2018
-8.62 2 10/1/2018 11/1/2018
-8.48 2 9/1/2019 10/1/2019
-8.43 5 5/1/2013 9/1/2013
-7.87 2 10/1/2016 11/1/2016
-5.80 3 8/1/2012 10/1/2012
-5.53 1 6/1/2015 6/1/2015
-5.48 1 4/1/2015 4/1/2015
-5.13 1 6/1/2012 6/1/2012
-3.74 3 1/1/2012 3/1/2012
-3.58 6 3/1/2017 8/1/2017
-3.57 1 10/1/2011 10/1/2011
-3.40 3 1/1/2014 3/1/2014
-3.38 2 3/1/2016 4/1/2016
-3.24 1 5/1/2018 5/1/2018
-2.07 1 12/1/2015 12/1/2015
-1.95 1 10/1/2015 10/1/2015
-1.89 1 2/1/2015 2/1/2015
-1.67 1 1/1/2019 1/1/2019
-1.48 1 8/1/2016 8/1/2016
-1.28 1 8/1/2015 8/1/2015
-1.15 1 5/1/2014 5/1/2014
-0.63 1 7/1/2018 7/1/2018
-0.48 1 7/1/2014 7/1/2014
-0.24 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods97.0095.0092.0086.0080.0074.0062.0050.0038.00
Percent Profitable53.6152.6361.9674.4280.0087.8493.5598.00100.00
Average Period Return0.411.422.825.519.1113.1221.3729.1737.06
Average Gain2.695.416.919.2311.8315.1823.0529.7737.06
Average Loss-2.22-3.01-3.84-5.32-1.80-1.80-3.11-0.30
Best Period7.9614.8624.6729.8438.4040.7547.2850.4664.85
Worst Period-9.63-8.40-10.09-14.88-5.48-3.17-4.21-0.3023.96
Standard Deviation3.205.267.059.1210.3112.8114.7513.538.78
Gain Standard Deviation2.063.775.727.309.7512.3113.7012.978.78
Loss Standard Deviation2.052.302.323.451.681.141.96
Sharpe Ratio (1%)0.100.220.330.490.740.871.241.863.64
Average Gain / Average Loss1.211.801.801.746.588.457.4297.95
Profit / Loss Ratio1.402.002.935.0526.3061.03107.564799.53
Downside Deviation (10%)2.263.314.185.654.995.947.216.991.13
Downside Deviation (5%)2.092.733.033.621.661.441.630.67
Downside Deviation (0%)2.052.592.763.181.080.730.900.04
Sortino Ratio (10%)0.000.060.080.090.300.480.781.098.36
Sortino Ratio (5%)0.160.430.771.254.597.7411.2337.73
Sortino Ratio (0%)0.200.551.021.738.4017.9823.76678.62

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 5.38 3/2019
Trend Following Strategy Index Month 6 1.41 9/2018
Trend Following Strategy Index Month 4 1.41 9/2018
Trend Following Strategy Index Month 4 2.81 4/2018
Diversified Trader Index Month 9 2.81 4/2018
Trend Following Strategy Index Month 4 2.81 4/2018
Diversified Trader Index Month 9 2.81 4/2018
Diversified Trader Index Month 8 1.81 11/2017
Trend Following Strategy Index Month 5 1.81 11/2017
Trend Following Strategy Index Month 9 0.19 9/2017

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