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DUNN Capital Management, LLC

DUNN WMA Institutional

Investment Strategy

WMA Institutional is a 100% systematic medium to long-term trend following program, encompassing a portfolio of financial, energy, metal and agricultural futures markets. The investment objective of WMA Institutional is to extract profits from up & down-trends, resulting in a return stream that exhibits very low correlation with traditional asset classes. WMA Institutional targets 1/2 the volatility of DUNN's flagship WMA Program and is expected to average ~11.5% annually over time (vs. ~23% for the standard WMA Program

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.

Fund Information

Inception DateOct 2011
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 82.35%
Sharpe Ratio 0.47
Sortino Ratio 0.65
Winning Months (%) 53.25%
Correlation vs. S&P 500 TR -0.09

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 4.74 9.38 1.32 -0.84 -3.83 -2.23 -0.82 7.34
2023 -4.54 5.59 -7.18 4.12 2.03 3.44 -0.52 -1.27 1.24 -3.29 -6.06 -1.68 -8.69
2022 4.59 3.65 6.66 4.19 -0.61 1.05 -3.07 6.44 3.53 0.31 -4.18 2.09 26.82
2021 -1.16 1.73 0.87 3.76 1.32 -2.21 -1.18 -0.31 0.62 4.32 -7.75 3.07 2.52
2020 0.19 -2.71 3.82 0.22 -1.42 -1.70 -0.59 0.85 -2.63 -0.08 -0.16 3.92 -0.54
2019 -1.67 0.85 5.38 0.85 0.57 2.15 2.50 5.47 -5.63 -3.02 1.47 -0.15 8.53
2018 5.41 -9.66 -0.10 2.81 -3.24 0.75 -0.63 1.85 1.41 -5.92 -2.87 2.01 -8.78
2017 -0.24 2.88 -0.42 -0.08 -0.30 -1.50 -1.20 -0.13 0.19 6.93 1.81 2.66 10.80
2016 2.11 1.20 -1.75 -1.66 0.13 6.10 0.41 -1.48 0.90 -6.48 -1.49 1.20 -1.29
2015 4.18 -1.89 4.56 -5.48 2.58 -5.53 7.92 -1.28 2.54 -1.95 3.05 -2.07 5.82
2014 -1.77 -0.74 -0.93 1.14 -1.15 2.04 -0.48 4.62 3.55 0.19 6.46 3.57 17.37
2013 0.14 7.96 1.22 4.25 -3.36 -0.69 -0.11 -2.25 -2.28 3.00 4.81 2.22 15.28
2012 -1.10 -2.01 -0.67 1.16 2.97 -5.13 1.86 -1.52 -1.85 -2.54 1.10 0.75 -7.02
2011 -3.57 2.94 0.55 -0.19
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 7.34%
3 Month ROR -6.75%
12 Months ROR -4.17%
36 Month ROR 23.67%
Total Return Cumulative 82.35%
Total Return Annualized 4.79%
Best Month 9.38%
Winning Months (%) 53.25%
Gain Deviation 2.11

Risk Statistics

Standard Deviation Annualized 11.32%
Max Drawdown (Monthly) -15.17%
Max Drawdown # of Months 19
Worst Month -9.66%
Losing Months (%) 46.75%
Average Losing Month -2.25%
Loss Deviation 2.05
Correlation vs S&P 500 -0.09
Correlation vs DJ/CS MF 0.80

Risk/Reward Statistics

Sharpe Ratio 0.47
Sortino Ratio 0.65
Omega Ratio 0.73
Skewness -0.08
Kurtosis 0.43

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -15.17% 10 9 02/2018 08/2019
2 -11.25% 15 15 09/2019 02/2022
3 -11.18% 6 2 07/2023 02/2024
4 -8.97% 5 4 06/2012 02/2013
5 -8.48% 5 3 11/2022 06/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 9.38%-9.66%0.44%0.20%-0.82%53.25%
3 Months 16.08%-10.68%1.40%0.30%-6.75%51.32%
6 Months 24.68%-11.18%2.92%2.28%2.48%65.77%
1 Year 29.85%-14.91%5.91%4.59%-4.17%74.83%
2 Years 40.76%-5.90%13.05%8.48%5.98%89.31%
3 Years 47.30%-7.67%19.52%20.98%23.67%93.28%
5 Years 64.83%1.49%27.92%32.40%23.96%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.79%16.05%37.44%90.60%306.98%687.32%
% Positive53.25%51.32%65.77%74.83%89.31%93.28%
Avg. Pos. Period2.81%5.75%6.60%9.51%14.89%21.16%
Avg. Neg. Period-2.25%-3.18%-4.15%-4.80%-2.33%-3.17%
Sharpe Ratio0.470.871.442.253.695.03
Sortino Ratio0.651.563.246.6646.1464.57
Standard Deviation3.27%5.60%7.01%9.11%12.25%13.45%
Downside Deviation2.08%2.78%2.87%2.87%0.93%1.01%
No data filled

Fund Information

Minimum Investment100,000 USD
AUM506,000,000 USD
Management Fee0.00%
Performance Fee25.00%
Highwater MarkNo
RT per Million500
Margin to Equity12.00%
Legal StructureManaged Account
Investment RestrictionNone

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 4.74 9.38 1.32 -0.84 -3.83 -2.23 -0.82 7.34
2023 -4.54 5.59 -7.18 4.12 2.03 3.44 -0.52 -1.27 1.24 -3.29 -6.06 -1.68 -8.69
2022 4.59 3.65 6.66 4.19 -0.61 1.05 -3.07 6.44 3.53 0.31 -4.18 2.09 26.82
2021 -1.16 1.73 0.87 3.76 1.32 -2.21 -1.18 -0.31 0.62 4.32 -7.75 3.07 2.52
2020 0.19 -2.71 3.82 0.22 -1.42 -1.70 -0.59 0.85 -2.63 -0.08 -0.16 3.92 -0.54
2019 -1.67 0.85 5.38 0.85 0.57 2.15 2.50 5.47 -5.63 -3.02 1.47 -0.15 8.53
2018 5.41 -9.66 -0.10 2.81 -3.24 0.75 -0.63 1.85 1.41 -5.92 -2.87 2.01 -8.78
2017 -0.24 2.88 -0.42 -0.08 -0.30 -1.50 -1.20 -0.13 0.19 6.93 1.81 2.66 10.80
2016 2.11 1.20 -1.75 -1.66 0.13 6.10 0.41 -1.48 0.90 -6.48 -1.49 1.20 -1.29
2015 4.18 -1.89 4.56 -5.48 2.58 -5.53 7.92 -1.28 2.54 -1.95 3.05 -2.07 5.82
2014 -1.77 -0.74 -0.93 1.14 -1.15 2.04 -0.48 4.62 3.55 0.19 6.46 3.57 17.37
2013 0.14 7.96 1.22 4.25 -3.36 -0.69 -0.11 -2.25 -2.28 3.00 4.81 2.22 15.28
2012 -1.10 -2.01 -0.67 1.16 2.97 -5.13 1.86 -1.52 -1.85 -2.54 1.10 0.75 -7.02
2011 -3.57 2.94 0.55 -0.19
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

WMA Institutional is a 100% systematic medium to long-term trend following program, encompassing a portfolio of financial, energy, metal and agricultural futures markets. The investment objective of WMA Institutional is to extract profits from up & down-trends, resulting in a return stream that exhibits very low correlation with traditional asset classes. WMA Institutional targets 1/2 the volatility of DUNN's flagship WMA Program and is expected to average ~11.5% annually over time (vs. ~23% for the standard WMA Program

Return Statistics

Last Month -
Year To Date 7.34%
3 Month ROR -6.75%
12 Months ROR -4.17%
36 Month ROR 23.67%
Total Return Cumulative 82.35%
Total Return Annualized 4.79%
Best Month 9.38%
Winning Months (%) 53.25%
Gain Deviation 2.11

Risk Statistics

Standard Deviation Annualized 11.32%
Max Drawdown (Monthly) -15.17%
Max Drawdown # of Months 19
Worst Month -9.66%
Losing Months (%) 46.75%
Average Losing Month -2.25%
Loss Deviation 2.05
Correlation vs S&P 500 -0.09
Correlation vs DJ/CS MF 0.80

Risk/Reward Statistics

Sharpe Ratio 0.47
Sortino Ratio 0.65
Omega Ratio 0.73
Skewness -0.08
Kurtosis 0.43

Monthly Returns

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 -15.17% 10 9 02/2018 08/2019
2 -11.25% 15 15 09/2019 02/2022
3 -11.18% 6 2 07/2023 02/2024
4 -8.97% 5 4 06/2012 02/2013
5 -8.48% 5 3 11/2022 06/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 9.38%-9.66%0.44%0.20%-0.82%53.25%
3 Months 16.08%-10.68%1.40%0.30%-6.75%51.32%
6 Months 24.68%-11.18%2.92%2.28%2.48%65.77%
1 Year 29.85%-14.91%5.91%4.59%-4.17%74.83%
2 Years 40.76%-5.90%13.05%8.48%5.98%89.31%
3 Years 47.30%-7.67%19.52%20.98%23.67%93.28%
5 Years 64.83%1.49%27.92%32.40%23.96%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.79%16.05%37.44%90.60%306.98%687.32%
% Positive53.25%51.32%65.77%74.83%89.31%93.28%
Avg. Pos. Period2.81%5.75%6.60%9.51%14.89%21.16%
Avg. Neg. Period-2.25%-3.18%-4.15%-4.80%-2.33%-3.17%
Sharpe Ratio0.470.871.442.253.695.03
Sortino Ratio0.651.563.246.6646.1464.57
Standard Deviation3.27%5.60%7.01%9.11%12.25%13.45%
Downside Deviation2.08%2.78%2.87%2.87%0.93%1.01%

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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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.