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DUNN Capital Management, LLC

D'Best Futures Fund, L.P. QEP only

Investment Strategy

D'BEST Futures Fund is a Delaware limited partnership, which began operations in June 1994. DUNN Capital Management, LLC is D'BEST's general partner. D’BEST is a multi advisor pool which allocates its assets to six systematic trading programs, all of which trade global exchange-listed futures contracts. DUNN actively manages the Fund, continually evaluating the allocation of assets to the approved systems based on factors such as system correlations, capacities, historical returns and markets traded.

Performance (VAMI)

Monthly Returns

Fund Manager

DUNN Capital was founded by William A. Dunn, PhD in 1974.  Bill was a pioneer in applying quantitative techniques to financial markets and developing rules-based portfolio management.  He was in uncharted territory at the time, breaking new ground in choosing to be strictly data-driven in his decision making and eliminating all subjectivity and emotion.
DUNN Capital has been led since 2007 by Martin Bergin, Bill’s long-time protégé and the President and Owner of the firm.  Since taking the reins, Marty has reinvigorated the firm’s focus on research and technology and has cultivated a culture of continual improvement.  During this new era, DUNN has assembled a talented R&D team of 5 professional researchers and has built a new simulation technology platform from scratch.  These investments have been rewarded, with the team implementing two material sets of enhancements (and numerous smaller ones) into the firm’s flagship trend following strategy, addressing all three elements of trading: entry, risk control, and exit.  The changes have been highly effective in improving the strategy’s robustness and risk-adjusted performance.
Today, DUNN manages over $1B in client assets worldwide. DUNN’s goal is to offer the best in class long term systematic program that performs in the widest range of market conditions possible while still maintaining a trend-following return profile.  The firm remains committed to its core principals of keeping its incentives aligned with those of its clients, staying focused on systematic scientific processes and going where the data leads.

General Information

Inception DateJun 1994
Minimum Investment100,000 USD
Management Fee0.00%
Performance Fee25.00%
Highwater MarkNo
Phone+1 772 286 4777
E-mail[email protected]
Websitewww.dunncapital.com

Statistics

Total Return Cumulative 1613.93%
Sharpe Ratio 0.45
Sortino Ratio 0.45
Winning Months (%) 51.82%
Correlation vs. S&P 500 TR -0.17

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 10.61 24.47 37.68
2023 -7.90 10.31 -21.75 10.62 3.77 5.01 -6.36 -3.38 7.10 -6.57 -12.08 -7.30 -29.29
2022 8.94 7.45 23.22 16.32 -1.11 1.57 -8.65 18.59 12.05 -0.74 -13.28 2.96 81.29
2021 -2.83 8.78 3.08 7.97 -0.07 -5.43 -4.50 -3.24 -0.46 10.24 -20.09 3.68 -6.60
2020 3.23 1.46 15.55 0.76 -2.75 -4.52 -0.39 1.26 -6.34 -1.16 0.57 9.29 16.21
2019 -4.06 3.22 12.14 2.97 4.08 7.60 5.24 20.76 -16.15 -8.99 4.62 -3.01 26.02
2018 20.68 -28.35 -1.86 6.06 -9.37 2.59 -3.06 4.60 0.88 -14.40 -8.47 6.78 -28.39
2017 -3.85 8.46 -4.66 -1.68 -3.48 -7.82 -3.55 -0.56 -2.40 19.57 2.24 5.98 5.48
2016 8.64 6.34 -5.81 -3.75 -2.37 16.31 0.69 -6.12 -0.82 -14.92 -5.99 4.62 -6.70
2015 13.77 -4.86 7.08 -15.37 4.71 -15.51 15.93 -3.52 8.62 -6.05 12.15 -7.79 2.43
2014 -6.22 -1.07 -7.01 -1.30 0.48 1.51 -3.76 12.72 15.62 -4.37 19.86 6.58 33.08
2013 2.01 7.30 1.37 10.05 -4.05 1.13 -2.55 0.84 -6.28 8.45 11.25 4.54 37.63
2012 1.03 -3.89 -0.39 2.03 2.61 -11.13 -1.24 -6.14 -3.39 -9.25 -3.14 1.46 -28.13
2011 4.37 -0.34 -10.44 5.34 -5.81 -1.67 14.25 4.71 1.99 -7.46 1.44 -2.11 1.90
2010 -19.53 13.81 10.33 8.28 3.41 0.30 -3.76 15.56 -2.14 14.99 -10.22 8.61 38.48
2009 -6.27 1.65 -8.37 0.94 10.34 -8.04 -7.31 5.03 3.70 -8.79 11.12 -11.39 -18.93
2008 16.15 24.52 -3.06 -5.73 7.36 3.81 -9.52 4.78 4.85 26.55 14.06 7.28 126.74
2007 5.87 -10.92 -6.40 5.59 11.28 7.36 -16.50 -15.78 15.11 1.88 2.50 1.85 -4.13
2006 -3.78 -2.86 9.49 15.20 -4.86 -5.21 -8.73 -2.79 -0.90 -1.11 7.28 -0.03 -0.86
2005 -5.49 -5.27 0.03 -10.59 12.26 6.13 -3.26 -1.59 -4.52 3.10 7.22 -6.33 -10.21
2004 0.50 17.11 3.13 -16.91 -3.51 -5.88 -4.93 3.85 -2.01 10.75 9.13 -3.08 3.80
2003 12.07 16.62 -21.80 -1.25 10.98 -14.00 -5.30 8.49 -5.64 -2.82 -4.13 -0.50 -13.43
2002 -1.42 -7.15 -1.72 -5.93 4.67 20.47 23.49 13.19 18.10 -17.65 -11.02 20.47 55.49
2001 -1.27 3.45 15.01 -19.08 0.52 -6.22 -1.35 15.20 11.19 19.33 -22.67 0.64 5.15
2000 3.71 -1.80 -8.38 -13.71 -1.14 -2.71 -4.07 7.91 -5.50 6.50 27.06 34.42 37.80
1999 -16.78 16.01 -3.55 5.20 5.21 4.98 -6.93 4.13 -5.09 -18.63 2.69 -5.20 -21.17
1998 10.30 -3.97 5.47 -19.26 0.82 3.39 -1.30 25.46 15.25 -7.36 -8.47 5.93 20.52
1997 11.43 -0.33 2.41 -10.71 -7.31 -6.41 26.72 -20.94 9.73 0.32 1.99 2.48 1.55
1996 15.68 -27.28 19.08 7.91 -3.50 3.06 -20.85 -3.17 3.37 20.61 24.99 -0.25 28.07
1995 -8.93 20.02 28.91 9.99 -6.09 7.04 -3.01 13.60 -10.04 4.11 3.32 5.41 75.08
1994 13.76 -7.07 -11.31 -7.85 -8.75 0.77 -3.03 -22.96
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month -
Year To Date 37.68%
3 Month ROR 27.63%
12 Months ROR -4.18%
36 Month ROR 55.94%
Total Return Cumulative 1613.93%
Total Return Annualized 10.02%
Best Month 34.42%
Winning Months (%) 51.82%
Gain Deviation 7.07

Risk Statistics

Standard Deviation Annualized 35.15%
Max Drawdown (Monthly) -52.07%
Max Drawdown Length 68
Worst Month -28.35%
Losing Months (%) 48.18%
Average Losing Month -6.81%
Loss Deviation 5.74
Correlation vs S&P 500 -0.17
Correlation vs DJ/CS MF 0.80

Risk/Reward Statistics

Sharpe Ratio 0.45
Sortino Ratio 0.45
Omega Ratio 1.13
Skewness 0.21
Kurtosis 0.41

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -52.07% 54 14 03/2003 10/2008
2 -47.40% 22 8 10/1998 03/2001
3 -44.88% 28 29 08/2016 04/2021
4 -38.33% 7 3 07/1994 04/1995
5 -37.33% 15 0 10/2022 -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 34.42%-28.35%1.31%0.57%24.47%51.82%
3 Months 81.90%-25.42%3.75%0.17%27.63%50.14%
6 Months 113.67%-34.14%7.32%1.84%12.28%53.69%
1 Year 130.77%-43.58%14.20%5.74%-4.18%62.43%
2 Years 236.91%-46.36%27.86%24.07%50.77%67.66%
3 Years 217.04%-42.30%39.80%33.03%55.94%75.47%
5 Years 187.03%-36.35%61.49%54.66%143.76%90.60%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg10.02%30.17%74.71%220.60%919.04%2589.20%
% Positive51.82%50.14%53.69%62.43%67.66%75.47%
Avg. Pos. Period8.86%17.64%23.99%31.12%48.52%57.83%
Avg. Neg. Period-6.81%-10.22%-12.00%-13.92%-15.37%-15.66%
Sharpe Ratio0.450.691.021.562.262.77
Sortino Ratio0.450.891.663.267.1611.85
Standard Deviation10.15%18.72%24.81%31.59%42.76%49.80%
Downside Deviation6.18%8.61%9.91%10.83%10.33%9.23%
No data filled

Company Information

Minimum Investment100,000 USD
AUM75,000,000 USD
Management Fee0.00%
Performance Fee25.00%
Highwater MarkNo
RT per Million4000
Margin to Equity18.00%
Legal StructureFund of Funds
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyDUNN Capital Management, LLC
PrincipalMarty Bergin
Phone+1 772 286 4777
E-mail[email protected]
License NumberNFA 526
LocationStuart, United States
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 10.61 24.47 37.68
2023 -7.90 10.31 -21.75 10.62 3.77 5.01 -6.36 -3.38 7.10 -6.57 -12.08 -7.30 -29.29
2022 8.94 7.45 23.22 16.32 -1.11 1.57 -8.65 18.59 12.05 -0.74 -13.28 2.96 81.29
2021 -2.83 8.78 3.08 7.97 -0.07 -5.43 -4.50 -3.24 -0.46 10.24 -20.09 3.68 -6.60
2020 3.23 1.46 15.55 0.76 -2.75 -4.52 -0.39 1.26 -6.34 -1.16 0.57 9.29 16.21
2019 -4.06 3.22 12.14 2.97 4.08 7.60 5.24 20.76 -16.15 -8.99 4.62 -3.01 26.02
2018 20.68 -28.35 -1.86 6.06 -9.37 2.59 -3.06 4.60 0.88 -14.40 -8.47 6.78 -28.39
2017 -3.85 8.46 -4.66 -1.68 -3.48 -7.82 -3.55 -0.56 -2.40 19.57 2.24 5.98 5.48
2016 8.64 6.34 -5.81 -3.75 -2.37 16.31 0.69 -6.12 -0.82 -14.92 -5.99 4.62 -6.70
2015 13.77 -4.86 7.08 -15.37 4.71 -15.51 15.93 -3.52 8.62 -6.05 12.15 -7.79 2.43
2014 -6.22 -1.07 -7.01 -1.30 0.48 1.51 -3.76 12.72 15.62 -4.37 19.86 6.58 33.08
2013 2.01 7.30 1.37 10.05 -4.05 1.13 -2.55 0.84 -6.28 8.45 11.25 4.54 37.63
2012 1.03 -3.89 -0.39 2.03 2.61 -11.13 -1.24 -6.14 -3.39 -9.25 -3.14 1.46 -28.13
2011 4.37 -0.34 -10.44 5.34 -5.81 -1.67 14.25 4.71 1.99 -7.46 1.44 -2.11 1.90
2010 -19.53 13.81 10.33 8.28 3.41 0.30 -3.76 15.56 -2.14 14.99 -10.22 8.61 38.48
2009 -6.27 1.65 -8.37 0.94 10.34 -8.04 -7.31 5.03 3.70 -8.79 11.12 -11.39 -18.93
2008 16.15 24.52 -3.06 -5.73 7.36 3.81 -9.52 4.78 4.85 26.55 14.06 7.28 126.74
2007 5.87 -10.92 -6.40 5.59 11.28 7.36 -16.50 -15.78 15.11 1.88 2.50 1.85 -4.13
2006 -3.78 -2.86 9.49 15.20 -4.86 -5.21 -8.73 -2.79 -0.90 -1.11 7.28 -0.03 -0.86
2005 -5.49 -5.27 0.03 -10.59 12.26 6.13 -3.26 -1.59 -4.52 3.10 7.22 -6.33 -10.21
2004 0.50 17.11 3.13 -16.91 -3.51 -5.88 -4.93 3.85 -2.01 10.75 9.13 -3.08 3.80
2003 12.07 16.62 -21.80 -1.25 10.98 -14.00 -5.30 8.49 -5.64 -2.82 -4.13 -0.50 -13.43
2002 -1.42 -7.15 -1.72 -5.93 4.67 20.47 23.49 13.19 18.10 -17.65 -11.02 20.47 55.49
2001 -1.27 3.45 15.01 -19.08 0.52 -6.22 -1.35 15.20 11.19 19.33 -22.67 0.64 5.15
2000 3.71 -1.80 -8.38 -13.71 -1.14 -2.71 -4.07 7.91 -5.50 6.50 27.06 34.42 37.80
1999 -16.78 16.01 -3.55 5.20 5.21 4.98 -6.93 4.13 -5.09 -18.63 2.69 -5.20 -21.17
1998 10.30 -3.97 5.47 -19.26 0.82 3.39 -1.30 25.46 15.25 -7.36 -8.47 5.93 20.52
1997 11.43 -0.33 2.41 -10.71 -7.31 -6.41 26.72 -20.94 9.73 0.32 1.99 2.48 1.55
1996 15.68 -27.28 19.08 7.91 -3.50 3.06 -20.85 -3.17 3.37 20.61 24.99 -0.25 28.07
1995 -8.93 20.02 28.91 9.99 -6.09 7.04 -3.01 13.60 -10.04 4.11 3.32 5.41 75.08
1994 13.76 -7.07 -11.31 -7.85 -8.75 0.77 -3.03 -22.96
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

D'BEST Futures Fund is a Delaware limited partnership, which began operations in June 1994. DUNN Capital Management, LLC is D'BEST's general partner. D’BEST is a multi advisor pool which allocates its assets to six systematic trading programs, all of which trade global exchange-listed futures contracts. DUNN actively manages the Fund, continually evaluating the allocation of assets to the approved systems based on factors such as system correlations, capacities, historical returns and markets traded.

Return Statistics

Last Month -
Year To Date 37.68%
3 Month ROR 27.63%
12 Months ROR -4.18%
36 Month ROR 55.94%
Total Return Cumulative 1613.93%
Total Return Annualized 10.02%
Best Month 34.42%
Winning Months (%) 51.82%
Gain Deviation 7.07

Risk Statistics

Standard Deviation Annualized 35.15%
Max Drawdown (Monthly) -52.07%
Max Drawdown Length 68
Worst Month -28.35%
Losing Months (%) 48.18%
Average Losing Month -6.81%
Loss Deviation 5.74
Correlation vs S&P 500 -0.17
Correlation vs DJ/CS MF 0.80

Risk/Reward Statistics

Sharpe Ratio 0.45
Sortino Ratio 0.45
Omega Ratio 1.13
Skewness 0.21
Kurtosis 0.41

Performance (VAMI)

Fund Manager

DUNN Capital was founded by William A. Dunn, PhD in 1974.  Bill was a pioneer in applying quantitative techniques to financial markets and developing rules-based portfolio management.  He was in uncharted territory at the time, breaking new ground in choosing to be strictly data-driven in his decision making and eliminating all subjectivity and emotion.
DUNN Capital has been led since 2007 by Martin Bergin, Bill’s long-time protégé and the President and Owner of the firm.  Since taking the reins, Marty has reinvigorated the firm’s focus on research and technology and has cultivated a culture of continual improvement.  During this new era, DUNN has assembled a talented R&D team of 5 professional researchers and has built a new simulation technology platform from scratch.  These investments have been rewarded, with the team implementing two material sets of enhancements (and numerous smaller ones) into the firm’s flagship trend following strategy, addressing all three elements of trading: entry, risk control, and exit.  The changes have been highly effective in improving the strategy’s robustness and risk-adjusted performance.
Today, DUNN manages over $1B in client assets worldwide. DUNN’s goal is to offer the best in class long term systematic program that performs in the widest range of market conditions possible while still maintaining a trend-following return profile.  The firm remains committed to its core principals of keeping its incentives aligned with those of its clients, staying focused on systematic scientific processes and going where the data leads.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -52.07% 54 14 03/2003 10/2008
2 -47.40% 22 8 10/1998 03/2001
3 -44.88% 28 29 08/2016 04/2021
4 -38.33% 7 3 07/1994 04/1995
5 -37.33% 15 0 10/2022 -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 34.42%-28.35%1.31%0.57%24.47%51.82%
3 Months 81.90%-25.42%3.75%0.17%27.63%50.14%
6 Months 113.67%-34.14%7.32%1.84%12.28%53.69%
1 Year 130.77%-43.58%14.20%5.74%-4.18%62.43%
2 Years 236.91%-46.36%27.86%24.07%50.77%67.66%
3 Years 217.04%-42.30%39.80%33.03%55.94%75.47%
5 Years 187.03%-36.35%61.49%54.66%143.76%90.60%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg10.02%30.17%74.71%220.60%919.04%2589.20%
% Positive51.82%50.14%53.69%62.43%67.66%75.47%
Avg. Pos. Period8.86%17.64%23.99%31.12%48.52%57.83%
Avg. Neg. Period-6.81%-10.22%-12.00%-13.92%-15.37%-15.66%
Sharpe Ratio0.450.691.021.562.262.77
Sortino Ratio0.450.891.663.267.1611.85
Standard Deviation10.15%18.72%24.81%31.59%42.76%49.80%
Downside Deviation6.18%8.61%9.91%10.83%10.33%9.23%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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