DUNN Capital Management : World Monetary and Agriculture Program (WMA)

Year-to-Date
36.80%
Aug Performance
12.10%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
32.79%
Sharpe (RFR=1%)
0.52
CAROR
13.73%
Assets
$ 667.0M
Worst DD
-57.88
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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
11/1984
World Monetary and Agriculture Program (WMA) 12.10 22.61 36.80 20.98 16.81 82.45 201.68 8,746.24
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 1,670.52
+/- S&P 500 13.91 16.28 20.07 20.13 -16.62 37.86 17.91 7,075.72

Strategy Description

Summary

DUNN's World Monetary and Agriculture ("WMA") Program is a fully diversified 100% systematic medium to long-term trend following program, encompassing a portfolio or financial, energy, metal and agricultural futures markets. The WMA Program is a compounded growth strategy. The investment... 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
1000 RT/YR/$M
Avg. Margin-to-Equity
24%
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

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
26.00%
Stock Indices
21.00%
Grains
14.00%
Currency Futures
13.00%
Energy
11.00%
Softs
9.00%
Precious Metals
6.00%
Composition Pie Chart

Summary

DUNN's World Monetary and Agriculture ("WMA") Program is a fully diversified 100% systematic medium to long-term trend following program, encompassing a portfolio or financial, energy, metal and agricultural futures markets. The WMA Program is a compounded growth strategy. The investment objective is to extract profits from up and down trends, resulting in a return stream that exhibits very low correlation with traditional asset classes.

Risk Management

Previously:From inception of the WMA Program in 1984 and through mid-January 2013, DUNN targeted a constant monthly VaR of -20% with a 99% confidence level. During that time (339) months, the 20% monthly loss level was penetrated 4 times or 1.18%. 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 re-calibrated 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 -22% to -8%, with an average VaR of -15%. The 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
-57.88 54 36 2/1/2003 8/1/2007
-49.76 7 19 2/1/1985 9/1/1985
-44.26 12 3 9/1/1999 9/1/2000
-35.08 6 8 6/1/1994 12/1/1994
-30.48 10 - 1/1/2018 11/1/2018
-28.63 3 6 7/1/1989 10/1/1989
-27.49 14 6 8/1/2011 10/1/2012
-25.45 5 3 12/1/1991 5/1/1992
-25.36 6 3 10/1/2001 4/1/2002
-24.85 3 6 10/1/1998 1/1/1999
-23.71 4 5 8/1/1992 12/1/1992
-23.41 2 3 9/1/2002 11/1/2002
-22.71 4 2 2/1/2011 6/1/2011
-22.66 10 4 2/1/1988 12/1/1988
-18.03 6 1 1/1/1998 7/1/1998
-17.98 13 4 7/1/2016 8/1/2017
-17.44 4 2 4/1/1996 8/1/1996
-17.29 3 4 3/1/2001 6/1/2001
-16.99 5 3 4/1/2013 9/1/2013
-16.64 3 5 3/1/2015 6/1/2015
-14.93 1 2 9/1/1991 10/1/1991
-14.84 8 2 11/1/1990 7/1/1991
-13.33 1 2 1/1/1996 2/1/1996
-11.97 2 2 3/1/1997 5/1/1997
-11.23 1 6 4/1/1990 5/1/1990
-10.95 1 1 1/1/0001 11/1/1984
-10.21 1 3 7/1/1997 8/1/1997
-8.73 1 1 10/1/2010 11/1/2010
-7.97 5 3 12/1/2013 5/1/2014
-7.28 2 2 2/1/2016 4/1/2016
-7.18 2 3 4/1/1987 6/1/1987
-7.09 1 1 11/1/1996 12/1/1996
-6.96 2 1 12/1/1993 2/1/1994
-6.52 1 1 8/1/1995 9/1/1995
-5.59 1 1 9/1/1987 10/1/1987
-5.02 1 3 8/1/1993 9/1/1993
-4.24 1 2 11/1/2015 12/1/2015
-3.87 1 1 1/1/2015 2/1/2015
-1.44 1 1 8/1/2010 9/1/2010
-0.15 1 1 1/1/1997 2/1/1997
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Consecutive Gains

Run-up Length (Mos.) Start End
114.85 6 9/1/2007 2/1/2008
108.06 6 10/1/2000 3/1/2001
81.28 5 5/1/2002 9/1/2002
71.85 3 9/1/1996 11/1/1996
55.50 6 8/1/2014 1/1/2015
55.34 5 3/1/1989 7/1/1989
53.76 3 8/1/1998 10/1/1998
48.96 4 10/1/1995 1/1/1996
47.71 3 12/1/2002 2/1/2003
47.56 4 1/1/1995 4/1/1995
47.38 4 1/1/1990 4/1/1990
46.48 8 2/1/1999 9/1/1999
41.67 7 2/1/2019 8/1/2019
41.08 2 3/1/1987 4/1/1987
40.64 6 9/1/2008 2/1/2009
39.41 2 2/1/1986 3/1/1986
38.95 5 9/1/2017 1/1/2018
37.94 3 12/1/1984 2/1/1985
37.52 3 6/1/1992 8/1/1992
36.57 5 4/1/1993 8/1/1993
33.57 4 3/1/1994 6/1/1994
33.36 3 10/1/1985 12/1/1985
33.32 3 2/1/2013 4/1/2013
32.79 2 11/1/1991 12/1/1991
32.40 2 7/1/2011 8/1/2011
30.12 4 7/1/2001 10/1/2001
29.90 3 4/1/2007 6/1/2007
28.97 2 6/1/1997 7/1/1997
26.85 2 5/1/2005 6/1/2005
26.61 4 10/1/2006 1/1/2007
26.19 4 8/1/2004 11/1/2004
26.19 4 11/1/1987 2/1/1988
22.96 2 3/1/2006 4/1/2006
22.14 3 12/1/2010 2/1/2011
21.66 1 5/1/1985 5/1/1985
21.51 3 10/1/2013 12/1/2013
21.10 1 1/1/1989 1/1/1989
20.08 2 8/1/1991 9/1/1991
19.60 2 3/1/1996 4/1/1996
19.21 2 7/1/1995 8/1/1995
19.01 3 2/1/2010 4/1/2010
17.83 1 1/1/1997 1/1/1997
17.30 2 1/1/1993 2/1/1993
16.96 1 8/1/2010 8/1/2010
16.70 1 8/1/2003 8/1/2003
16.60 1 7/1/2015 7/1/2015
16.26 3 11/1/1997 1/1/1998
13.17 2 8/1/1986 9/1/1986
13.03 3 5/1/2016 7/1/2016
11.78 1 4/1/2011 4/1/2011
11.64 4 6/1/1990 9/1/1990
11.52 2 2/1/2004 3/1/2004
11.17 2 4/1/2003 5/1/2003
11.00 1 11/1/2009 11/1/2009
10.67 2 4/1/2012 5/1/2012
10.30 1 3/1/1991 3/1/1991
9.96 2 12/1/2001 1/1/2002
9.83 3 7/1/2009 9/1/2009
9.30 1 3/1/2015 3/1/2015
8.90 3 10/1/1993 12/1/1993
8.81 1 1/1/1987 1/1/1987
8.22 1 10/1/2010 10/1/2010
7.34 1 11/1/1989 11/1/1989
6.85 1 1/1/2000 1/1/2000
6.78 2 1/1/2016 2/1/2016
6.58 2 11/1/2011 12/1/2011
6.45 1 9/1/1997 9/1/1997
6.44 2 8/1/2018 9/1/2018
6.10 1 11/1/2015 11/1/2015
6.00 1 11/1/2005 11/1/2005
5.97 1 7/1/1987 7/1/1987
5.96 2 11/1/2012 12/1/2012
5.87 1 2/1/2017 2/1/2017
5.80 1 4/1/2018 4/1/2018
5.50 1 9/1/1987 9/1/1987
5.44 1 11/1/1990 11/1/1990
5.29 2 5/1/2008 6/1/2008
5.02 1 6/1/2010 6/1/2010
4.97 1 9/1/2015 9/1/2015
4.65 1 5/1/2015 5/1/2015
4.53 1 7/1/2012 7/1/2012
4.04 1 3/1/1992 3/1/1992
4.04 1 6/1/2014 6/1/2014
3.99 1 3/1/1998 3/1/1998
3.96 1 12/1/2018 12/1/2018
3.94 2 9/1/1988 10/1/1988
3.88 1 5/1/1988 5/1/1988
3.87 2 7/1/2000 8/1/2000
2.39 1 3/1/2002 3/1/2002
2.23 1 4/1/2014 4/1/2014
2.21 1 3/1/1997 3/1/1997
2.17 1 12/1/2016 12/1/2016
1.46 1 9/1/2016 9/1/2016
1.38 1 6/1/2018 6/1/2018
1.35 1 11/1/1999 11/1/1999
0.74 1 11/1/1994 11/1/1994
0.60 1 6/1/1996 6/1/1996
0.32 1 12/1/1998 12/1/1998
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Consecutive Losses

Run-up Length (Mos.) Start End
-48.77 4 6/1/1985 9/1/1985
-37.59 5 2/1/2000 6/1/2000
-36.36 2 7/1/2007 8/1/2007
-34.97 4 4/1/2004 7/1/2004
-32.72 4 7/1/1994 10/1/1994
-28.63 3 8/1/1989 10/1/1989
-27.54 5 12/1/2004 4/1/2005
-26.85 4 4/1/1986 7/1/1986
-26.01 5 5/1/2006 9/1/2006
-23.71 4 9/1/1992 12/1/1992
-23.52 1 11/1/2001 11/1/2001
-23.41 2 10/1/2002 11/1/2002
-22.44 1 3/1/2003 3/1/2003
-21.56 5 9/1/2003 1/1/2004
-21.37 2 5/1/2011 6/1/2011
-19.97 2 2/1/2018 3/1/2018
-19.39 2 3/1/1985 4/1/1985
-18.50 2 7/1/2008 8/1/2008
-17.30 2 11/1/1988 12/1/1988
-17.29 3 4/1/2001 6/1/2001
-17.11 2 10/1/2018 11/1/2018
-16.99 5 5/1/2013 9/1/2013
-16.96 2 7/1/1996 8/1/1996
-16.76 4 4/1/1998 7/1/1998
-16.02 2 3/1/2008 4/1/2008
-15.45 2 10/1/2016 11/1/2016
-15.41 2 4/1/1992 5/1/1992
-15.30 2 1/1/1992 2/1/1992
-14.93 1 10/1/1991 10/1/1991
-14.40 3 8/1/2012 10/1/2012
-13.72 1 11/1/1998 11/1/1998
-13.33 1 2/1/1996 2/1/1996
-13.23 1 6/1/2012 6/1/2012
-13.18 1 1/1/1999 1/1/1999
-13.11 4 3/1/2009 6/1/2009
-12.44 2 6/1/2003 7/1/2003
-12.30 3 12/1/1990 2/1/1991
-12.06 2 12/1/2009 1/1/2010
-12.06 1 3/1/2011 3/1/2011
-11.97 2 4/1/1997 5/1/1997
-11.97 4 4/1/1991 7/1/1991
-11.40 2 9/1/2011 10/1/2011
-11.38 2 2/1/2007 3/1/2007
-11.34 4 7/1/2005 10/1/2005
-11.23 1 5/1/1990 5/1/1990
-10.95 1 11/1/1984 11/1/1984
-10.78 1 4/1/2015 4/1/2015
-10.72 1 6/1/2015 6/1/2015
-10.63 3 1/1/2012 3/1/2012
-10.21 1 8/1/1997 8/1/1997
-9.70 1 9/1/2000 9/1/2000
-8.90 3 10/1/1986 12/1/1986
-8.86 2 3/1/1988 4/1/1988
-8.73 1 11/1/2010 11/1/2010
-8.64 3 12/1/2005 2/1/2006
-8.07 1 2/1/2002 2/1/2002
-7.89 6 3/1/2017 8/1/2017
-7.83 3 1/1/2014 3/1/2014
-7.28 2 3/1/2016 4/1/2016
-7.26 1 5/1/2010 5/1/2010
-7.18 2 5/1/1987 6/1/1987
-7.09 1 12/1/1996 12/1/1996
-7.01 1 10/1/1999 10/1/1999
-6.96 2 1/1/1994 2/1/1994
-6.78 1 5/1/2018 5/1/2018
-6.52 1 9/1/1995 9/1/1995
-6.10 2 5/1/1995 6/1/1995
-5.71 1 4/1/2002 4/1/2002
-5.59 1 10/1/1987 10/1/1987
-5.44 1 12/1/1999 12/1/1999
-5.42 1 12/1/1989 12/1/1989
-5.30 1 2/1/1998 2/1/1998
-5.02 1 9/1/1993 9/1/1993
-4.97 3 6/1/1988 8/1/1988
-4.39 1 7/1/2010 7/1/2010
-4.24 1 12/1/2015 12/1/2015
-4.23 1 2/1/1989 2/1/1989
-4.22 1 12/1/1994 12/1/1994
-4.14 1 10/1/2009 10/1/2009
-3.87 1 2/1/2015 2/1/2015
-3.85 1 10/1/2015 10/1/2015
-3.54 1 8/1/2016 8/1/2016
-3.44 1 1/1/2019 1/1/2019
-3.28 1 3/1/1993 3/1/1993
-2.98 1 8/1/1987 8/1/1987
-2.41 1 8/1/2015 8/1/2015
-2.33 1 5/1/2014 5/1/2014
-1.75 1 2/1/1987 2/1/1987
-1.54 1 7/1/2018 7/1/2018
-1.50 1 1/1/1986 1/1/1986
-1.44 1 9/1/2010 9/1/2010
-1.18 1 5/1/1996 5/1/1996
-1.12 1 7/1/2014 7/1/2014
-0.64 1 10/1/1997 10/1/1997
-0.51 1 1/1/2017 1/1/2017
-0.40 1 10/1/1990 10/1/1990
-0.23 1 1/1/2013 1/1/2013
-0.15 1 2/1/1997 2/1/1997
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods418.00416.00413.00407.00401.00395.00383.00371.00359.00
Percent Profitable54.3154.8160.5370.2776.5680.5188.7791.6494.15
Average Period Return1.524.638.7116.6626.0836.8960.5887.70119.16
Average Gain8.1416.2622.0129.4138.3449.5570.8397.77127.69
Average Loss-6.36-9.49-11.69-13.48-13.97-15.38-20.46-22.75-18.13
Best Period31.6380.78114.85128.88165.55268.48371.40476.08527.66
Worst Period-30.68-45.04-45.83-44.26-45.23-43.81-50.09-52.20-48.02
Standard Deviation9.4717.5223.3028.4235.7145.9465.0485.08107.96
Gain Standard Deviation6.7714.4619.7623.6531.4641.9861.6681.62105.47
Loss Standard Deviation5.237.919.4010.0110.4512.3114.2615.5213.30
Sharpe Ratio (1%)0.150.250.350.550.690.760.880.981.06
Average Gain / Average Loss1.281.711.882.182.743.223.464.307.04
Profit / Loss Ratio1.522.082.895.168.9613.3027.3747.13113.36
Downside Deviation (10%)5.778.9510.6711.4711.6812.6913.4013.8812.55
Downside Deviation (5%)5.608.429.669.589.039.399.188.926.45
Downside Deviation (0%)5.568.299.419.148.438.688.337.925.39
Sortino Ratio (10%)0.190.380.581.021.582.103.354.777.29
Sortino Ratio (5%)0.260.520.851.632.723.726.279.3717.68
Sortino Ratio (0%)0.270.560.931.823.094.257.2811.0722.10

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 16.60 7/2015
Trend Following Strategy Index Month 1 16.60 7/2015
Systematic Trader Index Month 1 16.60 7/2015
Diversified Trader Index Month 1 16.60 7/2015
Trend Following Strategy Index Month 5 4.65 5/2015
Diversified Trader Index Month 6 4.65 5/2015
Systematic Trader Index Month 7 4.65 5/2015
IASG CTA Index Month 10 4.65 5/2015
Trend Following Strategy Index Month 2 9.30 3/2015
Systematic Trader Index Month 2 9.30 3/2015
IASG CTA Index Month 3 9.30 3/2015
Diversified Trader Index Month 4 9.30 3/2015
IASG CTA Index Year Rolling 8 34.16 2012 - 2013
Systematic Trader Index Month 6 10.00 11/2013
IASG CTA Index Month 7 10.00 11/2013
Diversified Trader Index Month 6 10.00 11/2013
Trend Following Strategy Index Month 6 10.00 11/2013
Trend Following Strategy Index Month 10 10.59 4/2013
Systematic Trader Index Month 1 16.79 2/2013
Diversified Trader Index Month 1 16.79 2/2013
Trend Following Strategy Index Month 1 16.79 2/2013
IASG CTA Index Month 1 16.79 2/2013
Trend Following Strategy Index Month 9 3.23 11/2012
Trend Following Strategy Index Month 10 5.26 11/2011
Systematic Trader Index Month 2 19.93 7/2011
Trend Following Strategy Index Month 2 19.93 7/2011
Diversified Trader Index Month 2 19.93 7/2011
IASG CTA Index Month 4 19.93 7/2011
Trend Following Strategy Index Month 9 3.69 1/2011
Trend Following Strategy Index Month 4 16.96 8/2010
IASG CTA Index Month 6 16.96 8/2010
Diversified Trader Index Month 4 16.96 8/2010
Systematic Trader Index Month 5 16.96 8/2010
Trend Following Strategy Index Month 7 3.07 2/2009
Diversified Trader Index Month 4 29.55 2/2008
Systematic Trader Index Month 4 29.55 2/2008
Trend Following Strategy Index Month 4 29.55 2/2008
IASG CTA Index Month 4 29.55 2/2008
Trend Following Strategy Index Month 6 19.94 1/2008
IASG CTA Index Month 7 19.94 1/2008
Systematic Trader Index Month 7 19.94 1/2008
Diversified Trader Index Month 7 19.94 1/2008
Trend Following Strategy Index Month 8 7.78 11/2007
Diversified Trader Index Month 8 7.78 11/2007
Diversified Trader Index Month 10 7.39 6/2007
Trend Following Strategy Index Month 8 7.39 6/2007
IASG CTA Index Month 5 11.77 5/2007
Diversified Trader Index Month 4 11.77 5/2007
Systematic Trader Index Month 4 11.77 5/2007
Trend Following Strategy Index Month 2 11.77 5/2007
Trend Following Strategy Index Month 5 6.21 1/2007
Diversified Trader Index Month 7 6.21 1/2007
Systematic Trader Index Month 9 6.21 1/2007
Trend Following Strategy Index Month 9 8.41 12/2006
Diversified Trader Index Month 10 8.41 12/2006
Systematic Trader Index Month 10 8.41 12/2006
Trend Following Strategy Index Month 5 12.42 3/2006
Systematic Trader Index Month 5 12.42 3/2006
Diversified Trader Index Month 6 12.42 3/2006
IASG CTA Index Month 6 12.42 3/2006
IASG CTA Index Month 6 12.23 6/2005
Systematic Trader Index Month 4 12.23 6/2005
Diversified Trader Index Month 4 12.23 6/2005
Trend Following Strategy Index Month 4 12.23 6/2005
IASG CTA Index Month 3 13.03 5/2005
Trend Following Strategy Index Month 3 13.03 5/2005
Systematic Trader Index Month 3 13.03 5/2005
Diversified Trader Index Month 3 13.03 5/2005
Trend Following Strategy Index Month 6 7.93 10/2004
Diversified Trader Index Month 7 7.93 10/2004
IASG CTA Index Month 8 7.93 10/2004
Systematic Trader Index Month 7 7.93 10/2004
IASG CTA Index Month 4 9.29 8/2004
Systematic Trader Index Month 2 9.29 8/2004
Diversified Trader Index Month 2 9.29 8/2004
Trend Following Strategy Index Month 1 9.29 8/2004
Systematic Trader Index Month 1 16.70 8/2003
Diversified Trader Index Month 2 16.70 8/2003
Trend Following Strategy Index Month 2 16.70 8/2003
IASG CTA Index Month 3 16.70 8/2003
Diversified Trader Index Month 10 13.83 2/2003
Trend Following Strategy Index Month 9 13.83 2/2003
Systematic Trader Index Month 9 13.83 2/2003
IASG CTA Index Month 10 13.83 2/2003
IASG CTA Index Month 10 21.34 12/2002
Trend Following Strategy Index Month 9 21.34 12/2002
Diversified Trader Index Month 10 21.34 12/2002
Systematic Trader Index Month 10 21.34 12/2002
IASG CTA Index Year Rolling 8 54.05 2001 - 2002
Trend Following Strategy Index Month 7 9.10 9/2002
Systematic Trader Index Month 10 9.10 9/2002
Diversified Trader Index Month 10 9.10 9/2002
IASG CTA Index Month 9 10.50 8/2002
Systematic Trader Index Month 8 10.50 8/2002
Trend Following Strategy Index Month 7 10.50 8/2002
Diversified Trader Index Month 7 10.50 8/2002
IASG CTA Index Month 10 14.82 7/2002
Systematic Trader Index Month 9 14.82 7/2002
Diversified Trader Index Month 9 14.82 7/2002
Trend Following Strategy Index Month 8 14.82 7/2002

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