DUNN Capital Management : DUNN World Volatility Program (WVP)

Year-to-Date
4.16%
Jan Performance
-4.16%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
21.02%
Sharpe (RFR=1%)
0.62
CAROR
12.88%
Assets
$ 58.0M
Worst DD
-28.21
S&P Correlation
-0.17

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
12/2014
DUNN World Volatility Program (WVP) -4.16 -6.55 -4.16 38.30 1.55 103.16 - 106.86
S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 - 89.17
+/- S&P 500 -3.05 -20.13 -3.05 23.14 -29.97 13.68 - 17.69

Strategy Description

Summary

WVP is a 100% systematic, relative-value approach that scales its positions in accordance with the estimated attractiveness of a particular market’s volatility risk premium. WVP is available as a separately managed account.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

VIX
67.00%
Stock Indices
33.00%
Composition Pie Chart

Summary

WVP is a 100% systematic, relative-value approach that scales its positions in accordance with the estimated attractiveness of a particular market’s volatility risk premium. WVP is available as a separately managed account.

Investment Strategy

The investment objective of DUNN's WVP Program is to trade the volatility and volatility-of-volatility risk premium embedded in the traded derivatives while hedging the market exposure with the underlying future.

   

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
-28.21 23 2 2/1/2018 1/1/2020
-8.62 1 7 7/1/2015 8/1/2015
-6.96 1 2 5/1/2016 6/1/2016
-6.55 2 - 11/1/2020 1/1/2021
-5.25 1 3 5/1/2020 6/1/2020
-2.27 1 1 3/1/2017 4/1/2017
-1.62 1 1 9/1/2020 10/1/2020
-0.88 1 1 3/1/2015 4/1/2015
-0.33 3 1 10/1/2016 1/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
48.24 4 2/1/2020 5/1/2020
37.20 10 5/1/2017 2/1/2018
28.79 4 2/1/2016 5/1/2016
15.94 4 7/1/2016 10/1/2016
9.05 2 2/1/2017 3/1/2017
8.61 4 12/1/2014 3/1/2015
7.27 4 8/1/2019 11/1/2019
4.15 1 7/1/2020 7/1/2020
3.08 2 9/1/2015 10/1/2015
2.99 1 9/1/2020 9/1/2020
2.16 1 11/1/2020 11/1/2020
1.81 3 5/1/2015 7/1/2015
0.78 1 9/1/2018 9/1/2018
0.54 1 2/1/2019 2/1/2019
0.46 1 6/1/2019 6/1/2019
0.19 1 12/1/2015 12/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.51 6 3/1/2018 8/1/2018
-8.62 1 8/1/2015 8/1/2015
-8.61 4 10/1/2018 1/1/2019
-7.87 2 12/1/2019 1/1/2020
-6.96 1 6/1/2016 6/1/2016
-6.55 2 12/1/2020 1/1/2021
-5.25 1 6/1/2020 6/1/2020
-5.11 3 3/1/2019 5/1/2019
-2.36 1 1/1/2016 1/1/2016
-2.27 1 4/1/2017 4/1/2017
-1.62 1 10/1/2020 10/1/2020
-1.43 1 7/1/2019 7/1/2019
-0.88 1 4/1/2015 4/1/2015
-0.38 1 11/1/2015 11/1/2015
-0.33 3 11/1/2016 1/1/2017
-0.04 1 8/1/2020 8/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0072.0069.0063.0057.0051.0039.0027.00
Percent Profitable61.1159.7260.8766.6770.1876.47100.00100.00
Average Period Return1.174.107.9716.7623.8629.0844.2359.40
Average Gain3.6511.3218.5030.6640.2941.7044.2359.40
Average Loss-2.72-6.62-8.40-11.05-14.80-11.95
Best Period42.1751.9265.34102.9181.13101.6898.86115.84
Worst Period-8.62-28.45-20.96-22.80-27.07-27.931.9535.02
Standard Deviation6.0714.4018.3426.2129.6032.7227.0619.88
Gain Standard Deviation6.4313.7415.7220.2817.5426.2927.0619.88
Loss Standard Deviation2.266.625.678.227.328.74
Sharpe Ratio (1%)0.180.270.410.600.760.831.522.78
Average Gain / Average Loss1.341.712.202.782.723.49
Profit / Loss Ratio2.112.543.435.556.4011.34
Downside Deviation (10%)2.396.477.6410.4112.8511.612.94
Downside Deviation (5%)2.236.006.568.369.717.890.17
Downside Deviation (0%)2.195.896.307.888.967.08
Sortino Ratio (10%)0.320.440.721.131.271.629.68
Sortino Ratio (5%)0.490.641.141.892.303.43237.48
Sortino Ratio (0%)0.540.701.272.132.664.11

Top Performer Badges

Index Award Type Rank Performance Period

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