DUNN Capital Management : DUNN World Volatility Program (WVP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 4.14% Aug Performance 1.05% Min Investment $ 5,000k Mgmt. Fee 0% Perf. Fee 25.00% Annualized Vol 20.36% Sharpe (RFR=1%) 0.58 CAROR 11.68% Assets $ 60.0M Worst DD -28.21 S&P Correlation -0.16 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since12/2014 DUNN World Volatility Program (WVP) 1.05 -4.74 -4.14 -3.24 21.65 59.62 - 106.91 S&P 500 3.04 7.72 24.49 33.58 61.14 113.19 - 124.79 +/- S&P 500 -1.99 -12.46 -28.62 -36.82 -39.48 -53.57 - -17.88 Strategy Description SummaryWVP 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% SummaryWVP 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 StrategyThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -28.21 23 2 2/1/2018 1/1/2020 -8.62 1 7 7/1/2015 8/1/2015 -7.50 8 - 11/1/2020 7/1/2021 -6.96 1 2 5/1/2016 6/1/2016 -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 Show More 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 4.84 1 2/1/2021 2/1/2021 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 1.49 1 4/1/2021 4/1/2021 1.05 1 8/1/2021 8/1/2021 0.89 1 6/1/2021 6/1/2021 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 Show More 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 -6.56 1 7/1/2021 7/1/2021 -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 -1.24 1 5/1/2021 5/1/2021 -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 -0.08 1 3/1/2021 3/1/2021 -0.04 1 8/1/2020 8/1/2020 Show More 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. x {{title}} x {{title}} Add Cancel