DUNN Capital Management : DUNN World Volatility Program (WVP)

Year-to-Date: 39.04%
Dec Performance: -2.49%

Min Investment: $ 5,000k
Mgmt. Fee: 0%
Perf. Fee: 25.00%

Annualized Vol: 21.05%
Sharpe (RFR=1%): 0.66
CAROR: 13.89%

Assets: $ 56.0M
Worst DD: -28.21
S&P Correlation: -0.18

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2020	1yr	3yr	5yr	10yr	Since 12/2014
DUNN World Volatility Program (WVP)	-2.49	-2.00	39.04	39.04	13.63	109.46	-	115.84
S&P 500	3.71	11.69	16.26	16.26	40.48	81.90	-	80.58
+/- S&P 500	-6.20	-13.69	22.78	22.78	-26.85	27.57	-	35.26

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%

Composition

VIX: 67.00%
Stock Indices: 33.00%

Summary

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.

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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

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Sharpe Ratio: (RF=1%)
Skewness:
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Sharpe Ratio: (RF=1%)
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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
-5.25	1	3	5/1/2020	6/1/2020
-2.49	1	-	11/1/2020	12/1/2020
-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

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

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
-5.25	1	6/1/2020	6/1/2020
-5.11	3	3/1/2019	5/1/2019
-2.49	1	12/1/2020	12/1/2020
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	71.00	71.00	68.00	62.00	56.00	50.00	38.00	26.00
Percent Profitable	61.97	60.56	61.76	66.13	69.64	76.00	100.00	100.00
Average Period Return	1.25	4.22	8.14	16.36	23.58	29.02	45.34	57.58
Average Gain	3.65	11.32	18.50	30.40	40.30	41.96	45.34	57.58
Average Loss	-2.67	-6.69	-8.59	-11.05	-14.80	-11.95
Best Period	42.17	51.92	65.34	102.91	81.13	101.68	98.86	115.84
Worst Period	-8.62	-28.45	-20.96	-22.80	-27.07	-27.93	6.14	35.02
Standard Deviation	6.08	14.47	18.42	26.23	29.79	33.05	26.50	17.81
Gain Standard Deviation	6.43	13.74	15.72	20.46	17.77	26.60	26.50	17.81
Loss Standard Deviation	2.28	6.73	5.69	8.22	7.32	8.74
Sharpe Ratio (1%)	0.19	0.27	0.41	0.59	0.74	0.82	1.60	3.00
Average Gain / Average Loss	1.37	1.69	2.15	2.75	2.72	3.51
Profit / Loss Ratio	2.23	2.60	3.48	5.37	6.25	11.12
Downside Deviation (10%)	2.35	6.48	7.66	10.49	12.96	11.72	1.96
Downside Deviation (5%)	2.19	6.02	6.60	8.42	9.80	7.97
Downside Deviation (0%)	2.15	5.91	6.34	7.95	9.04	7.15
Sortino Ratio (10%)	0.36	0.46	0.74	1.08	1.23	1.60	15.08
Sortino Ratio (5%)	0.53	0.66	1.16	1.82	2.25	3.39
Sortino Ratio (0%)	0.58	0.71	1.28	2.06	2.61	4.06

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.

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More Programs by DUNN Capital Management

Program Name	CAROR
DUNN World Volatility Program (WVP)	13.89%
World Monetary and Agriculture Program (WMA)	12.64%
D'Best Futures Fund, L.P.	9.21%
DUNN WMA Institutional Program	3.95%

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DUNN Capital Management : DUNN World Volatility Program (WVP)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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DUNN Capital Management : DUNN World Volatility Program (WVP)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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